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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/987654321/92930

    題名: The Asymmetric Contagion from the U.S. Stock Market Around the Subprime Crisis
    作者: Nieh, Chien-Chung;Kao, Yu-Sheng;Yang, Chao-Hsiang
    貢獻者: 淡江大學財務金融學系
    日期: 2011-01
    上傳時間: 2013-10-24 02:23:36 (UTC+8)
    出版者: Hackensack, N.J. : World Scientific
    摘要: The Enders and Siklos (2001) asymmetric threshold co-integration model was applied to examine the long-term asymmetric equilibrium relationships between the U.S. and three major European and the U.S. and three major Latin American stock markets around the subprime mortgage crisis. First, from the major empirical results of our research, we have found that partially asymmetric co-integration relationships between the U.S. and European and the U.S. and Latin American stock markets has increased during the crisis, which partly supports the “contagion effect” and partly supports the “interdependence effect” of the international stock markets, which was proposed by Forbes and Rigobon (2001). Hence, the event of the subprime mortgage crisis enhanced partial co-movement between the U.S. and European and the U.S. and Latin American stock markets, except the Brazil stock market, which demonstrated only the interdependence effect with the S&P 500 index. Therefore, if the investors in these countries want to diversify risks by utilizing the investment portfolios of the stock markets in the U.S. and their own countries, they should cautiously consider the correlations of the categories of industries before making any investment during the subprime mortgage crisis. The subprime mortgage crisis, which is different from previous financial crises in emerging markets, reveals that the financial linkage of a country to the U.S. markets determines the degrees of contagion effects.
    關聯: Studies on Financial Markets in East Asia, pp.19-39
    DOI: 10.1142/9789814343374_0002
    顯示於類別:[財務金融學系暨研究所] 專書之單篇


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