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首页> 外文期刊>Journal of Asian Economics >Does peace boost stock prices? Evidence from the Korean stock market
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Does peace boost stock prices? Evidence from the Korean stock market

机译：和平提升股价吗？ 来自韩国股市的证据

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摘要

This study analyzes the impact on the Korean stock market of the inter-Korean summits in 2000, 2007, and 2018 and the North Korea-United States summit in 2018 using the event study methodology. Three portfolios, which have high exposures to North Korea risks are constructed: stocks related to Kaesong Industrial Complex (KS portfolio), stocks related to inter-Korean economic cooperation (IEC portfolio), and stocks related to the defense industry (DEF portfolio). Empirical analysis show that the cumulative abnormal returns (CARs) of KS, IEC, and DEF portfolios react positively or negatively to each summit. These results imply that peace does not simply play a role in boosting stock prices and that the stock price reflects all available information related to the summits, including the process and agreement of the summits' discussion and political context. The robustness test (performed by changing the event day to the announcement rather than the agreement) shows that KS and IEC portfolios reflect positive expectation and that the DEF portfolio reflects negative expectation in the financial market. Although each CAR pattern varies, it is true that the stock price reflects all available information of summits swiftly. In other words, our paper shows that the efficient market hypothesis holds in the Korean stock market. (C) 2020 Elsevier Inc. All rights reserved.
机译：本研究采用事件研究法分析了2000年、2007年和2018年的朝韩峰会以及2018年的朝美峰会对韩国股市的影响。构建了三个高朝鲜风险敞口的投资组合：开城工业园区相关股票（KS投资组合）、朝韩经济合作相关股票（IEC投资组合）和国防工业相关股票（DEF投资组合）。实证分析表明，KS、IEC和DEF投资组合的累积异常收益（CAR）对每次峰会的反应是积极的还是消极的。这些结果表明，和平不仅仅在提振股价方面发挥作用，而且股价反映了与峰会有关的所有可用信息，包括峰会讨论的过程和协议以及政治背景。稳健性测试（通过将活动日期改为公告而非协议）表明，KS和IEC投资组合反映了积极的预期，而DEF投资组合反映了金融市场的消极预期。尽管每种车型都有所不同，但股价确实反映了所有可用的信息。换句话说，我们的研究表明，有效市场假说在韩国股市是成立的。（C） 2020爱思唯尔公司版权所有。

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