주식시장의 국가간 동조화요인 분석: 국제무역과 국제금융 = International Stock market Linkage: Trade or Finance

다국어 초록 (Multilingual Abstract)

The paper attempts to investigate the co-movement of stock prices across 44 countries. In a fixed effect model and a probit model, the paper finds the following empirical results. First, stock prices tend to co-move more strongly among more economically linked countries. Second, both international trade and international finance are important economic linkages in explaining the co-movement of stock prices, Third, the co-movement is stronger when stock prices decline, Fourth, a large swings of stock prices tend to affect other countries` stock prices more strongly, Fifth, the stock prices of advanced countries are more likely to co-move the stock prices of emerging market countries. Sixth, the tendency of co-movement is stronger in recent periods.