淡江大學機構典藏:Item 987654321/80084
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    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/80084


    題名: Assessing Co-Movements in World Equity Markets
    作者: David Kleykamp;Liu, Wen-Chieh
    貢獻者: 淡江大學經濟學系
    關鍵詞: Co-Movement;Equity;Financial Integration;Stock Market Index;Contagion
    日期: 2012-07-01
    上傳時間: 2013-01-17 15:34:46 (UTC+8)
    出版者: 新北市：淡江大學國際研究學院
    摘要: 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.
    關聯: Tamkang Journal of International Affairs=淡江國際研究 16(1) pp.1-46
    DOI: 10.6185/TJIA.V.16.N1.P1P46
    顯示於類別:[外交與國際關係學系] 期刊論文

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