In the literature, it is a common belief that the U.S. stock market is the single most influential market in the world. The U.S. stock market is a global factor, affecting both developed and emerging markets. This dissertation empirically investigates the interactions between equity markets of the Asian four little dragons (Hong Kong, Korea, Singapore, and Taiwan) and the U.S. equity market. In order to assess correctly the effect of the U.S. stock return rates on emerging equity markets, we incorporate the assumption that returns on the U.S. stock market affect the stock returns on emerging markets but not vice versa. In other words, it is assumed that the U.S. stock exchange performance is not affected by one of the four Asian equity market; however, the latter is affected by both its own dynamics and the U.S. stock exchange. This dissertation consists of three essays. In order to estimate the dynamic impulse responses of the emerging markets¡¦ return rates to random shocks in the U.S. return rates, the first essay uses block exogenous VAR models which suggested in the papers of Zha (1996), Cushman and Zha (1997), and Zha (1999), and it finds that return rates on the U.S. positively affect stock return rates of the four Asian markets. By using the method of Rapach and Wohar (2005a, 2006a), and the second essay also finds that return rates on the U.S. have in-sample and out-of-sample predictive ability for return rates of the respective emerging market. The last essay follows the econometric methodology of Bai and Perron (1998, 2003a, 2003b, and 2004) and it points out that there exists at least one structural change in the predictive regression model of the respective empirical equity market. The results suggest that an emerging equity market¡¦s sensitivity to shocks from the U.S. return rates is related to its degree of openness.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0501108-184213 |
| Date | 01 May 2008 |
| Creators | Lin, Jihn-yih |
| Contributors | Y.C. Huang, Chau-jung Kuo, Chingnun Lee, Chu-hsiung Lin, David So-De Shyu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0501108-184213 |
| Rights | restricted, Copyright information available at source archive |
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