English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 60696/93562 (65%)
造訪人次 : 1054072      線上人數 : 37
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/117049

    題名: The Asymmetric Contagion Effect from the U.S. Stock Market around the Subprime Crisis between 2007 and 2010
    作者: Kao, Yu-Sheng;Kai Zhao;Yu-Cheng Ku;Chien-Chung Nieh
    關鍵詞: M-TAR framework;logistic smooth transition co-integration;contagion effect;stock market co-movement;subprime crisis
    日期: 2019-08-13
    上傳時間: 2019-09-19 12:10:28 (UTC+8)
    摘要: This study employed Enders and Siklos asymmetric co-integration frameworks, including the momentum threshold autoregressive (M-TAR) and logistic smooth transition co-integration (LSTC) models, to investigate whether contagion effects had existed in international stock markets by using the changes in the asymmetric co-integration relationships between the U.S. S&P 500 Index and a total of 23 markets in Asia, Europe, and America during the subprime crisis. The main findings demonstrated that the subprime crisis did not reinforce co-movement trends between the S&P 500 Index and these stock markets, by the application of the Engle-Granger (1987) symmetric co-integration test. However, with the application of the asymmetric co-integration frameworks, both M-TAR and LSTC showed there existed contagion effects between them in the aftermath of Lehman Brothers’ bankruptcy in 2008; transition speeds between these two regimes also substantially increased in the LSTC during the financial crisis. Only the Chinese market was not affected by the U.S. market during this crisis; only an interdependence effect existed between the U.S. and China. The subprime crisis determined the degree of contagion, depending on the financial linkage to the U.S. market, which further demonstrates the differences in the causes and influence between the subprime crisis and other financial crises in emerging markets.
    關聯: Economic Research-Ekonomska Istraživanja 32(1), p.2422-2454
    DOI: 10.1080/1331677X.2019.1645710
    顯示於類別:[財務金融學系暨研究所] 期刊論文


    檔案 描述 大小格式瀏覽次數
    The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010.pdf3312KbAdobe PDF1檢視/開啟



    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋