Open AccessThe Impact of North Korea’s Nuclear Tests on Asian Stock Markets
Author(s) -
Chung Baek
Publication year - 2021
Publication title -
eurasian journal of business and economics
Language(s) - English
Resource type - Journals
eISSN - 1694-5948
pISSN - 1694-5972
DOI - 10.17015/ejbe.2021.027.05
Subject(s) - stock (firearms) , stock market , economics , financial economics , nuclear test , business , monetary economics , geography , test site , engineering , context (archaeology) , mining engineering , archaeology
This study investigates the impact of North Korea’s nuclear tests on Asian stock markets. Two approaches are used separately in order to identify how stock market returns and volatilities change immediately after the nuclear tests. We find that the Chinese stock market tends to be more sensitive to unexpected shocks from North Korea’s nuclear tests than other Asian stock markets. However, relatively, the Japanese stock market is little influenced by the nuclear tests though Japan is not only geographically close to North Korea but also politically vigilant to North Korea’s nuclear threats. Also, we find that strengthened return correlations (linearity) do not necessarily increase stock return volatilities.