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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.

studies in nonlinear dynamics and econometrics

Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis