教師資料查詢 | 類別: 期刊論文 | 教師: 林允永 LIN YUN-YUNG (瀏覽個人網頁)

標題: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
語言英文(美國)
ISSN1556-5793
期刊性質國內
收錄於
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式紙本
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