동북아시아, 미국, 러시아에서의 경기순환 및 주가 동조화

This study investigates empirically economic interdependence and stock market integration across Northeast Asian countries, the US and Russia. Using GDP growth and stock index return, cross-country correlations are calculated and compared for the countries in the analysis during the period 1990-2005. Northeast Asian factors are extracted from Korean, Japan, Chinese data and the Northeast Asian first principal components are used to compare the relationship between Northeast Asia and the US, and that between North east Asia and Russia. The analysis is conducted for the entire period, the pre-crisis period and the post-crisis period, respectively. Evidence indicates that after the crisis, economic and stock market integrations become increased significantly across the Northeast countries, the US and Russia. In particular, China's business cycle become more closely with Korea's, and the US' effect on the region has lessened in GDP growth. However, the US shows the stronger and strongest presence in Northeast Asian stock market. China's is still isolated from the international financial market. Russia's statistically significant association with Northeast Asian factors for both GDP and stock index is noteworthy.