淡江大學機構典藏:Item 987654321/98702
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62830/95882 (66%)
Visitors : 4047508      Online Users : 620
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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/98702


    Title: Information Transmission Effects between Large and Small Capitalization Indices in Tokyo Stock Exchange
    Authors: Hung, Jui-Cheng;Lin, Yun-Yung
    Contributors: 淡江大學財務金融學系
    Keywords: Information transmission;VAR;bivariate VC-GJR-GARCH;Tokyo Stock Exchange
    Date: 2014
    Issue Date: 2014-09-15 14:27:04 (UTC+8)
    Publisher: Taipei: Zhonghua Guanli Jixiao Pingjian Xuehui
    Abstract: This paper explores the information transmission effects by examining the mean and volatility spillovers between large- and small-cap stock indices in Tokyo Stock Exchange. A systematic VAR model and the bivariate VC-GJR-GARCH model (Tse and Tsui, 2002) are used to investigate the mean and volatility spillovers, respectively. The empirical results exhibit that there are no strong evidences for any mean spillovers between large- and small-cap stock indices, which is consistent with Reyes (2001). For the volatility spillovers, bidirectional information transmissions between large- and small-cap stock indices are observed. In the further research, the volatility of large-cap stock index is only affected by the positive shocks of small-cap stock index. However, the volatility of small-cap stock index is significantly affected by both positive and negative shocks of large-cap stock index. These results may provide some implications for predicting the short-term dynamics of volatility for large- and small-cap stock indices.
    Relation: Journal of Accounting, Finance & Management Strategy 9(2) (21pages)
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML50View/Open
    全文.pdf667KbAdobe PDF136View/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