The effect of North Korean threats on financial markets in South Korea and Japan

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Tarih

2016

Dergi Başlığı

Dergi ISSN

Cilt Başlığı

Yayıncı

Elsevier Science Bv

Erişim Hakkı

info:eu-repo/semantics/closedAccess

Özet

This paper examines the effects of North Korean threats, as measured by the proprietary North Korean Threat Index (NKTI), on financial markets in South Korea and Japan. We examine the effects of the threats on stock markets, foreign exchange markets, and overnight interest rates. We consider causality in mean and variance tests to determine any link between the NKTI and financial variables. The causality-in-mean test results indicate the presence of a causal link running from North Korean threats to stock returns and exchange rate returns in both countries, but no significant link to the overnight interest rate in either country. The causality-in-variance test results indicate no significant impact emanating from North Korean threats. Integrating the North Korean economy into the global economy stands to eliminate these threats and thus to contribute to regional financial stability. (C) 2016 Elsevier Inc. All rights reserved.

Açıklama

Anahtar Kelimeler

Military threats, Financial markets, Stock returns, Time-Series, Unit-Root, Spillover

Kaynak

Journal of Asian Economics

WoS Q Değeri

N/A

Scopus Q Değeri

Q2

Cilt

43

Sayı

Künye