淡江大學機構典藏:Item 987654321/119612
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 63184/95884 (66%)
Visitors : 4537817      Online Users : 208
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/119612


    Title: The more Contagion Effect on Equity Markets: The Evidence of DCC-GARCH and ADCC-GARCH Models
    Authors: Shieh, Chen-Huan;Lee, Chung-Ching;Chen, Ying-Chieh
    Keywords: Contagio;DCC-GARCH;ADCC-GARCH;Trade War
    Date: 2019-05
    Issue Date: 2020-11-20 12:10:22 (UTC+8)
    Abstract: The purpose of this paper is to test the existence of financial contagion between stock markets of several emerging and developed countries in Asia during the trade wars. As a result of DCC-GARCH and ADCC-GARCH analysis, we find the evidence of contagion during trade wars for most of the developed and emerging countries. Another finding is that emerging markets seem to be the most influenced by the contagion effects during trade wars. Contagion is tested using DCC and ADCC means difference test. Our findings indicate the presence of contagion in the equity markets across all the eight pairs of source-target countries that are considered.
    Relation: British Journal of Economics, Finance and Management Sciences 16(2), p.1-10
    Appears in Collections:[Graduate Institute & Department of Statistics] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML72View/Open
    The more Contagion Effect on Equity Markets The Evidence of DCC-GARCH and ADCC-GARCH Models.pdf856KbAdobe PDF1View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


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