DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Min, Hong-Ghi | - |
dc.contributor.advisor | 민홍기 | - |
dc.contributor.author | Hwang, Eu-Gene | - |
dc.contributor.author | 황유진 | - |
dc.date.accessioned | 2013-09-12T02:42:22Z | - |
dc.date.available | 2013-09-12T02:42:22Z | - |
dc.date.issued | 2012 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=508725&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/181903 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 경영과학과, 2012.8, [ iii, 32 p. ] | - |
dc.description.abstract | This paper investigates the relationship between the stock returns of ten emerging economies with that of the US. By examining DCC-GARCH model and Bai-Perron method, to examine stock market contagion and herding behavior, we analyzed three types of different dynamic behavior of stock market interactions decided by number of breaks after crisis period. We proposed DCCX model to find determinants of DCCs between US and emerging country markets. It is shown that an increase in the CDS spread and TED spreads decrease conditional correlations while increase in VIX index of S&P 500 and foreign institutional investment increase conditional correlations. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Financial Crisis | - |
dc.subject | DCC-GARCH | - |
dc.subject | Contagion | - |
dc.subject | Herding | - |
dc.subject | 금융위기 | - |
dc.subject | DCC-GARCH | - |
dc.subject | 전염 | - |
dc.subject | 유지 | - |
dc.subject | 동태적 조건부 상관 관계의 결정 요인 | - |
dc.subject | Determinants of DCC | - |
dc.title | Determinants of stock market comovements among US and emerging economies during the US financial crisis | - |
dc.title.alternative | 미국 금융위기 기간 내 미국과 신흥국가 주식 시장의 동조화 현상 결정 요인에 관한 연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 508725/325007 | - |
dc.description.department | 한국과학기술원 : 경영과학과, | - |
dc.identifier.uid | 020104460 | - |
dc.contributor.localauthor | Min, Hong-Ghi | - |
dc.contributor.localauthor | 민홍기 | - |
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