| Information Transmission Effects between Large and Small Capitalization Indices in Tokyo Stock Exchange | |
|---|---|
| 學年 | 102 |
| 學期 | 1 |
| 出版（發表）日期 | 2014-01-01 |
| 作品名稱 | Information Transmission Effects between Large and Small Capitalization Indices in Tokyo Stock Exchange |
| 作品名稱（其他語言） | |
| 著者 | Hung, Jui-Cheng; Lin, Yun-Yung |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Taipei: Zhonghua Guanli Jixiao Pingjian Xuehui |
| 著錄名稱、卷期、頁數 | Journal of Accounting, Finance & Management Strategy 9(2) (21pages) |
| 摘要 | 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. |
| 關鍵字 | Information transmission; VAR; bivariate VC-GJR-GARCH; Tokyo Stock Exchange |
| 語言 | en_US |
| ISSN | 1556-5793 |
| 期刊性質 | 國內 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/98702 ) |
| SDGS | 消除貧窮,優質教育,尊嚴就業與經濟發展 |
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