期刊論文
| 學年 | 108 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2019-08-13 |
| 作品名稱 | The Asymmetric Contagion Effect from the U.S. Stock Market around the Subprime Crisis between 2007 and 2010 |
| 作品名稱（其他語言） | |
| 著者 | Kao, Yu-Sheng; Kai Zhao; Yu-Cheng Ku; Chien-Chung Nieh |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Economic Research-Ekonomska Istraživanja 32(1), p.2422-2454 |
| 摘要 | This study employed Enders and Siklos asymmetric co-integration frameworks, including the momentum threshold autoregressive (M-TAR) and logistic smooth transition co-integration (LSTC) models, to investigate whether contagion effects had existed in international stock markets by using the changes in the asymmetric co-integration relationships between the U.S. S&P 500 Index and a total of 23 markets in Asia, Europe, and America during the subprime crisis. The main findings demonstrated that the subprime crisis did not reinforce co-movement trends between the S&P 500 Index and these stock markets, by the application of the Engle-Granger (1987) symmetric co-integration test. However, with the application of the asymmetric co-integration frameworks, both M-TAR and LSTC showed there existed contagion effects between them in the aftermath of Lehman Brothers’ bankruptcy in 2008; transition speeds between these two regimes also substantially increased in the LSTC during the financial crisis. Only the Chinese market was not affected by the U.S. market during this crisis; only an interdependence effect existed between the U.S. and China. The subprime crisis determined the degree of contagion, depending on the financial linkage to the U.S. market, which further demonstrates the differences in the causes and influence between the subprime crisis and other financial crises in emerging markets. |
| 關鍵字 | M-TAR framework;logistic smooth transition co-integration;contagion effect;stock market co-movement;subprime crisis |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117049 ) |