NYSE KOSPI 200

), sep1017@ynu.ac.kr

.
.
.

.
.
<>

NYSE KOSPI 200

KOSPI 200 NYSE
KOSPI 200 NYSE .
2003 5 26 2009 2 16 299 .

(cointegration)
. (out-of-sample) (in-sample)
.
2 40 ,
, 2 40
.
.
, KOSPI 200 NYSE
1 .
,, KOSPI 200 NYSE .
, 2003 5 26 2009 2 16 KOSPI 200 NYSE
(+) .

, 2003 5 26 KOSPI 200 NYSE (+)

.
, (out-of-sample) (in-sample)

.
(

: KOSPI 200 , NYSE, , VAR, ).

- 1 -

.
, ,
1992 1 3 10% 1998 5 25
, 1996 5 3
15% 1997 7 7 100% .
NYSE KOSPI 200
. NYSE
KOSPI 200

KOSPI
.

, ,

KOSPI
.
NYSE KOSPI 200
NYSE KOSPI
. NYSE KOSPI
, KOSPI .
NYSE KOSPI
.
NYSE KOSPI
.
.

2008 10 224 ,

, 219
.
, , .
.

.
NYSE KOSPI

- 2 -

 .
NYSE KOSPI 200
2003 5 26
2009 2 16 299
(out-of-sample) (in-sample)
.
.
KOSPI 200 NYSE KOSPI 200
,
. 2003 5 26
2009

16

299

(out-of-sample) (in-sample) .
2
40 ,
2 40
.
. ,
NYSE KOSPI 200
.
, . V
.

.
1992 1 3 10% 1998 5 25
NYSE KOSPI
. 1996 5 3 15% 1997 7 7
100% .
NYSE KOSPI .
NYSE NYSE KOSPI
.
Ghoshi, Saidi, Johnson(1999) , , , , ,

- 3 -

, , , ,
. Ghoshi, Saidi, Johnson
, , , , ,
.
.
Daly(2003) 1990 2001 1997 10
, , , , , , , ,
.
, IMF
.
, (2003) 1995 10 4 2000 3 31 7

(inter-dependence) . VAR
, .
IMF
,
IMF . ,
,
IMF
.
,
. , ,
.
,
, ,
.

.
3.1
- 4 -

 < 1> KOSPI 200 NYSE

2005 5 26 2009 2 16 KOSPI 200
NYSE 299 .
.

KS : KOSPI 200
KOSPI 200 : ln

EX : NYSE
NYSE : ln

< 1> KOSPI 200 NYSE

Data
KOSPI 200 Weeklly Data
NYSE Weeklly Data

Period
2003. 5.26 2009. 2. 16
2003. 5.26 2009. 2. 16

Number of data
299
299

3.2
3.2.1
.

ADF Phillips Perron

.

ADF DF
( ADF DF Asymptotic .),
DF .
DF ADF AR
.
Said Dickey MA
ARIMA
. ARIMA(p,d,q) AR(1)
Said-Dickey ADF AR
.
DF I.i.d. .

- 5 -

 . Phillips Perron
(weakly dependent)
. NYSE
KOSPI (time series) .

.

.
Eviews version 4.1 .

3.2.2 VAR
(VAR)
. VAR n

. , VAR
.
VAR .
2

[ FS ] = [
t

i=1

11i
21i

] [ S

12i
22i

t- i

F t - i] +

[ ee ] N( 0,H )
,

st

ft

[ cc ] + [ ee ]
1

st

ft

Ht =

[ cc

ss

sf

c sf
c ff

3.2.3
(Regression

Analysis)

OLS(ordinary least squares)

.
.
(
) .

- 6 -

 (short)
1 (long)
.
st = + f t + i

,
*

h =-

Var ( f t)

Cov(s0, f 0 )

s
t

Cov(st, f t )

Var ( f 0 )

sf
2

s f
2f

sf

=-

sf

=-

sf

t-1 t , f t-1

Squares)

(OLS:

Ordinary

Least

3.2.4
(out-of-sample) (in-sample)
.
2 40 ,
, 2 40
. .

1
.

:
(in-sample) (out-of-sample)
.

- 7 -

.
4.1
KOSPI 200 NYSE
, < 2>
. KOSPI
NYSE KOSPI
NYSE .
KOSPI NYSE < 3>
(+) . KOSPI NYSE
+0.882486 .
< 2>

Before Difference
NYSE

KOSPI 200

After Difference
NYSE

KOSPI 200

Mean

7712.618

160.2334

0.000422

-0.000447

Median

7663.820

162.3500

0.003957

0.002344

Maximum

10301.49

260.1000

0.170319

0.121278

Minimum

4959.790

80.90000

-0.229288

-0.217345

Std. Dev.

1384.180

47.79116

0.041222

0.026752

Skewness

0.003830

0.244029

-0.460899

-1.351905

Kurtosis

1.893434

1.947765

6.281044

14.50996

Jarque-Bera

15.25582

16.7614

228.4275

2749.197

Probability

0.000487

0.000229

0.000000

0.000000

Sum

2306073

47909.80

0.199392

-0.210831

Sum Sq. Dev.

5.71E+08

680630.6

0.800331

0.337088

Observations

299

299

298

298

KOSPI NYSE < 1> KOSPI 200

< 2> NYSE .

- 8 -

< 3>

KOSPI 200

KOSPI 200

NYSE

1.000000

NYSE

0.899134
1.000000

0.899134

4.2 KOSPI NYSE

NYSE KOSPI 200
ADF(Augmented Dickey Fuller) PP(Phillips and

Perron) . KOSPI NYSE

< 4> .

,
, 1 .
< 1> KOSPI 200
.2

.1

.0

-.1

-.2

-.3
50

100

150
DKS

- 9 -

200

250

 NYSE KOSPI 200 1

. I(1)
. NYSE KOSPI 200
.
VAR ,
VECM .
Johansen . 5%.
4

<

5>

< 2> NYSE

.15
.10
.05
.00
-.05
-.10
-.15
-.20
-.25
50

100

150
DEX

- 10 -

200

250

< 4>

Difference

KOSPI

NYSE

ADF

-1.708992

-1.070905

PP

-1.688047

-1.128845

Before

Critical

Difference

KOSPI

ADF

-18.12191

-18.15861

PP

-18.13011

-18.14418

After

value

of ADF

1%

: -3.45141

5%

Critical

value

of PP

1%

: -3.45141

-2.871029

5%

-2.871029

10% :

-2.571897

10% :

-2.571897

1%

-3.452215

1%

-3.452215

5%

-2.871061

5%

-2.871061

10% :

-2.571915

10% :

-2.571915

NYSE

NYSE KOSPI 200 1

.
.

<

KOSPI and NYSE

Before Difference

After Difference

6.730350

103.0297

Likelihood Ratio

5>

1%

critical

value

16.31

4.3 VAR
VECM < 6> VAR
. VAR .
VAR
.
.

- 11 -

< 6> VAR

KOSPI(KS)

-0.172383
(0.05891)
[-2.92615]
-0.263520
(0.05891)
[-2.92615]
0.572534
(0.10096)
[ 5.67112]
0.263520
(0.07245)
[ -3.63750]
0.002656
(0.00209)
[ 1.27174]

KS(-1)

KS(-2)

EX(-1)

E(X-2)

NYSE(EX)
-0.117663
(0.05978)
[-1.96822]
-0.080966
(0.04874)
[-1.66133]
0.021322
(0.05365)
[ 0.39743]
0.169876
(0.05467)
[ 3.10719]
-0.001245
(0.00124)
[-1.00662]

Standard errors in ( ) & t-statistics in [ ]

KS is KOSP and EX is NYSE.

(variance decomposition)
.
< 7>

< 3> .
< 7>

- 12 -

< 3>
Response to Cholesky One S.D. Innovations 2 S.E.
Response of DEX to DEX

Response of DEX to DKS

.025

.025

.020

.020

.015

.015

.010

.010

.005

.005

.000

.000

-.005

-.005

-.010

-.010
1

10

Response of DKS to DEX

10

10

Response of DKS to DKS

.04

.04

.03

.03

.02

.02

.01

.01

.00

.00

-.01

-.01

-.02

-.02
1

10

) DKO is KOSP and DEX is NYSE.

4.3
NIKKEI 225 KOSPI 200
< 6> .

, 0.7654

- 13 -

< 6>

) h

=-

Cov(s0, f 0 )
Var ( f 0 )

0.765431

0.765445

sf
2

s f
2f

sf

=-

sf

=-

sf

4.4

1 -

. (out-of-sample) ((in-sample)
. < 7> (out-of-sample)
((in-sample)

(out-of-sample) ((in-sample) 0.8448

.

< 7> (out-of-sample) ((in-sample)

) e = 1 -

0.844802

0.844831

Va r ( H )
Va r ( U )

e : , Var(H): ,
Var(U) :

1
(percent reduction in variation) .

- 14 -

.
NYSE
. NYSE KOSPI 200
.
NYSE
KOSPI 200 NYSE KOSPI 200
NYSE KOSPI 200
NYSE .
NYSE KOSPI 200
2003 5 26
2009 2 16 299
(out-of-sample) (in-sample)
.

(cointegration)
.
(out-of-sample) (in-sample) .
2
40 , ,
2 40
. .
, KOSPI NYSE
.
, KOSPI NYSE 1
.
, KOSPI NYSE .
, 1998 1 5 KOSPI NYSE (+)
.
, , (out-of-sample) (in-sample)
0.8448 .

- 15 -


,, 2002, 2nd, .
, , 2003, - , , 20(2),
151-180
, EViews , , 2005
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