碩士 / 中原大學 / 企業管理研究所 / 98 / This study applies the VAR and EGARCH models to examine the causality between the U.S stock markets and various Asian Pacific Stock Indexes for the periods before and after the Financial Tsunami crisis. Empirical results indicate that the U.S. stock indexes lead the Asian Pacific Stock Indexes and the impact factor increases after the Financial Tsunami period.
This work finds that, using the VAR model, there is a dramatic increase in the causality, impulsive response and explanation from the U.S. to the Asian stock markets after the Financial Tsunami period. This investigation finds that, while using the EGARCH model, there has been a strongly influential effect after the Financial Tsunami period from the U.S. stock market, spillover effects on Asian stock markets. Yet the Asian stock markets did not have a significant spillover effect on the U.S. stock markets. Regarding the leverage effect, this study also finds that all the stock markets demonstrated significant asymmetry after the Financial Tsunami period. Moreover, empirical result indicates that, along with an open attitude from China’s government for the past three years, the causality between China's stock market with the US’ or Taiwan’s stock market increases.
In summary, even if the economy of Asian-Pacific countries quickly recovered from the Financial Tsunami crisis, the U.S. stock market is still acting as the leader in the global stock markets. This study also finds that the Asian investors are more sensitive to the U.S. stock markets after the Financial Tsunami period than before that period.
| Identifer | oai:union.ndltd.org:TW/098CYCU5121046 |
| Date | January 2010 |
| Creators | Yi-Chun Tseng, 曾奕鈞 |
| Contributors | Wei-Shan Hu, 胡為善 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 68 |
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