재무연구 제 권 호 (2018년 5월)
Asian Review of Financial Research, Vol., No..
pp.398~429
pp.398~429
A structural VAR approach to the log-linear model : Evidence of regional stock markets
Ming Wu College of Business Pusan National University
Kiyool Ohk College of Business Pusan National University
Kwangsoo Ko College of Business Pusan National University
We develop a log-linear structural VAR model to decompose unexpected excess market returns into permanent and temporary cash-flow news, discount-rate news, and nonfundamental news. We make some important findings. First, contrary to recent evidence for the United States, we find that discount-rate news plays a more important role than cash-flow news in global stock markets. Second, non-fundamental factor (i.e., investor sentiment) also plays a role in developed regional stock markets outside the United States. Finally, risk premiums are significantly higher in a down market than in an up market.
Ming Wu
Kiyool Ohk
Kwangsoo Ko
We develop a log-linear structural VAR model to decompose unexpected excess market returns into permanent and temporary cash-flow news, discount-rate news, and nonfundamental news. We make some important findings. First, contrary to recent evidence for the United States, we find that discount-rate news plays a more important role than cash-flow news in global stock markets. Second, non-fundamental factor (i.e., investor sentiment) also plays a role in developed regional stock markets outside the United States. Finally, risk premiums are significantly higher in a down market than in an up market.
Log-linear SVAR model,Regional stock markets,Decomposed news,Market status
