What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?
This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan and the U.S.) using industry-level data for Korea from 2003 to 2016 in the spirit of the international capital asset pricing model. It also examines what drives the comovements betwee...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Korea Development Institute
2018-02-01
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| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2018.40.1.45 |