教師資料查詢 | 類別: 期刊論文 | 教師: 陳英傑 YING-CHIEH CHEN (瀏覽個人網頁)

標題:The more Contagion Effect on Equity Markets: The Evidence of DCC-GARCH and ADCC-GARCH Models
學年107
學期2
出版(發表)日期2019/05/30
作品名稱The more Contagion Effect on Equity Markets: The Evidence of DCC-GARCH and ADCC-GARCH Models
作品名稱(其他語言)
著者Chen-Huan Shieh; Chung-Ching Lee; Ying-Chieh Chen
單位
出版者
著錄名稱、卷期、頁數British Journal of Economics, Finance and Management Sciences 16(2), p.1-10
摘要The purpose of this paper is to test the existence of financial contagion between stock markets of several emerging and developed countries in Asia during the trade wars. As a result of DCC-GARCH and ADCC-GARCH analysis, we find the evidence of contagion during trade wars for most of the developed and emerging countries. Another finding is that emerging markets seem to be the most influenced by the contagion effects during trade wars. Contagion is tested using DCC and ADCC means difference test. Our findings indicate the presence of contagion in the equity markets across all the eight pairs of source-target countries that are considered.
關鍵字Contagio;DCC-GARCH;ADCC-GARCH;Trade War
語言英文
ISSN2048-125X
期刊性質國外
收錄於
產學合作
通訊作者Chen-Huan Shieh
審稿制度
國別英國
公開徵稿
出版型式,電子版
相關連結
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