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- Title
Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis.
- Authors
Chang Sik Kim
- Abstract
This paper examines the spatial dominance of Korean stock market returns before and after the East Asian financial crisis around 1997. The spatial analysis developed by Park (2006) gives a new tool to test the distributional dominance of one process over the other even under nonstationarity. Extending the notion of well-developed stochastic dominance to the nonstationary time series whose distributions are time-varying, the existence of spatial dominances in Korean stock market returns is investigated. We find the evidence that the cumulative return distributions of Korean stock market index before the crisis spatially dominate the distributions after the crisis in the short term investments, and the dominance gets weaker as the investment period gets longer.
- Subjects
EAST Asia; KOREA; ECONOMIC history; FINANCIAL crises; CRISIS management; EAST Asian business enterprises
- Publication
Studies in Nonlinear Dynamics & Econometrics, 2009, Vol 13, Issue 4, p1
- ISSN
1081-1826
- Publication type
Article
- DOI
10.2202/1558-3708.1672