아시아 금융위기와 미국, 아시아 주식시장간의 관계변화

This paper Analyzes comovements between Korean, US, Asian equity markets over January1990 and October 2008 using daily data. I use Vector Autoregressive approach to examinethe comovement existing in 5 Asian countries and U.S.A. before and after 1997 Asianfinancial crises. To do this, the daily stock market indices of 6 countries. The results indicatethat the comovements of 5 Asian stock markets are existed. This is especially pronounced forAsian stock markets after 1997 Asian financial crises. The results suggest substantialincreased Asian stock market comovement. This implies that the benefits of diversificationwithin the 5 Asian stock markets have decreased over the recent years. KCI Citation Count: 1