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

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dc.authorid0000-0002-3865-5868
dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorscopusid8873464300
dc.authorscopusid26653963900
dc.authorwosidDibooglu, Sel/AAJ-4102-2020
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidCevik, Emrah/K-1967-2019
dc.contributor.authorDibooğlu, Sel
dc.contributor.authorÇevik, Emrah İsmail
dc.date.accessioned2022-05-11T14:33:29Z
dc.date.available2022-05-11T14:33:29Z
dc.date.issued2016
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis 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.
dc.identifier.doi10.1016/j.asieco.2016.03.002
dc.identifier.endpage26
dc.identifier.issn1049-0078
dc.identifier.issn1873-7927
dc.identifier.scopus2-s2.0-84961184208
dc.identifier.scopusqualityQ2
dc.identifier.startpage18
dc.identifier.urihttps://doi.org/10.1016/j.asieco.2016.03.002
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7766
dc.identifier.volume43
dc.identifier.wosWOS:000390164200003
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherElsevier Science Bv
dc.relation.ispartofJournal of Asian Economics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectMilitary threats
dc.subjectFinancial markets
dc.subjectStock returns
dc.subjectTime-Series
dc.subjectUnit-Root
dc.subjectSpillover
dc.titleThe effect of North Korean threats on financial markets in South Korea and Japan
dc.typeArticle

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