English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49292/83829 (59%)
Visitors : 7159364      Online Users : 51
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: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/80084


    Title: Assessing Co-Movements in World Equity Markets
    Authors: David Kleykamp;Liu, Wen-Chieh
    Contributors: 淡江大學經濟學系
    Keywords: Co-Movement;Equity;Financial Integration;Stock Market Index;Contagion
    Date: 2012-07
    Issue Date: 2013-01-17 15:34:46 (UTC+8)
    Publisher: 新北市:淡江大學國際研究學院
    Abstract: The issue of co-movements in world equity markets has proven to be a topic worthy of serious consideration. Rising globalization, openness, and economic integration, as well as major financial crises, have created the potential for much stronger transmission of shocks between countries and regions. Policymakers are anxious to fully quantify how such global shocks can threaten domestic financial and economic stability. This paper proposes a definition for global equity events where all stock markets rise or fall in unison. Similar definitions for regional equity events are then entertained in which all countries within a region unanimously rise or fall, but where other countries in other regions do not follow suit. The definitions are seen to be intuitively clear and immediately operational on daily data. Using daily data on 10 major world stock market indexes over the period 2000-2012, it is found that the estimated average probability for global equity events on any given day has more than doubled since the end of 2006. Prior to 2007 the probability of a global event was roughly 0.15 and this has now risen to above 0.30. Moreover, this greater integration has occurred without a substantial rise in the probability of regional equity events. Instead, local events have become less important in determining movements in stock prices. A dynamic, triangular model linking the daily percentage changes in the US, UK, and Hong Kong markets is then estimated and the impact of these markets on each other are seen to have strengthened between the periods 2000-2006 and 2007-2012, confirming the extent of the rise in integration among global equity markets.
    Relation: Tamkang Journal of International Affairs=淡江國際研究 16(1) pp.1-46
    DOI: 10.6185/TJIA.V.16.N1.P1P46
    Appears in Collections:[外交與國際關係學系全英語學士班] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML187View/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