Who has more influence on Asian stock markets around the subprime mortgage crisis – the US or China?
學年 100
學期 1
出版（發表）日期 2012-01-01
作品名稱 Who has more influence on Asian stock markets around the subprime mortgage crisis – the US or China?
作品名稱（其他語言）
著者 Nieh, Chien-Chung; Yang, Chao-Hsiang; Kao, Yu-Sheng
單位 淡江大學財務金融學系
出版者 Abingdon: Routledge
著錄名稱、卷期、頁數 Applied Economics Letters 19(4), pp.329-335
摘要 This article employed the Momentum Threshold Autoregressive (M-TAR) model to investigate the changes in the asymmetric co-integration relationship between the US and China's stock markets and Asian stock markets of Taiwan, Hong Kong, Singapore, Japan, Korea and India around the subprime mortgage crisis. The main empirical findings demonstrated that with the application of traditional symmetric co-integration tests, the subprime mortgage crisis did not reinforce the co-movement trends between the US and China's markets and Asian markets. However, with the application of the M-TAR model for the threshold co-integration test, there was significant increase in these asymmetric co-integration relationships between them during the period of the subprime mortgage crisis, and our empirical results show evidence that the linkage between the US and China's stock markets is low, and investors can somewhat diversify risks by investing in the United States and China simultaneously.
關鍵字
語言 en
ISSN 1350-4851; 1466-4291
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Kao, Yu-Sheng
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版,紙本
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