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The industrial relationships in time-varying beta coefficients between Korea and United States

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  • Kwang Woo Park
  • Myeong Hwan Kim

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.

Suggested Citation

  • Kwang Woo Park & Myeong Hwan Kim, 2009. "The industrial relationships in time-varying beta coefficients between Korea and United States," Applied Economics, Taylor & Francis Journals, vol. 41(15), pages 1929-1938.
    • Handle: RePEc:taf:applec:v:41:y:2009:i:15:p:1929-1938
    DOI: 10.1080/00036840601131730
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    References listed on IDEAS

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    1. Jalal D. Akhavein & John H. Leusner & P. A. V. B. Swamy, "undated". "Solving an Empirical Puzzle in the Capital Asset Pricing Model," Finance and Economics Discussion Series 1996-14, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
    2. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
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