The industrial relationships in time-varying beta coefficients between Korea and United States
Abstract:This article examines financial linkage of systematic risks for 20 industry portfolio returns between Korean and US stock markets. Time-varying beta coefficients of Capital Asset Pricing Model are estimated and Granger-causality tests are carried out for identifying the significance of the industrial relations between the two stock markets. The empirical findings show that the strength and the causality of international financial linkage vary depending on the types of industry and the shocks in the systematic risk. Some Korean industries, including financing industries, iron and metal industries, service, and textile and wearing industries are relatively vulnerable to systematic risk associate with US industries.
Document Type: Research Article
Publication date: June 1, 2009