碩士 / 佛光大學 / 管理學系 / 98 / U.S. stock market has always been to dominate the world economic. Whether its status has been replaced by China after the financial tsunami crisis.？
The financial tsunami crisis has moved the weights of the world economy from American to China. Many research institutes expect China will become a major driving force for global economic growth. They predict that the Chinese GDP will be in excess of Japan in 2010 (it has realized), and its GDP will catch up with the United States in 2022. Will the leading status of the American Economic be reversed?
Traditional time series models such as ARIMA, ARCH, and GARCH can be used to forecast the volatility of the stock returns. But these time series models can not forecast the information transmission and the volatility spillover between two cross stock markets. Nelson (1991) proposed the EGARCH model to solve this problem. The bivariate EGARCH model makes it possible to investigate the asymmetric effect between U.S. stock market and Chinese stock market.
During the past ten years, the correlation coefficient between U.S. and Chinese stock market is 0.11 which means these two stock markets are almost independent. In recent years, the relationships between China and the U.S. stock market are highly mutual related, the correlation coefficient is 0.89 which means these two stock markets are interactive.
The empirical evidence shows that: (1) No matter before or after the financial tsunami crisis, the two stock markets were tested having co-integration relationship. (2) Before the financial tsunami, error correction model did not impact the Dow Jones index significantly, but error correction model affected the Shanghai stock index significantly. (3) No matter before or after the financial tsunami crisis, the Dow Jones index have the leverage effect; but Shanghai stock index dose not have the leverage effect significantly (4) Before the financial tsunami crisis, the Dow Jones index has the spillover effect on Shanghai stock index significantly; but after the the financial tsunami crisis, the Dow Jones index dose not has the spillover effect on Shanghai stock index. (5) For the Relative asymmetric effect-- Before the financial crisis, the bad news on the Dow Jones index of major influence than the good news,but the Shanghai index received good news than bad news significantly affect the results.After the financial tsunami , good news or bad news on the impact of the Dow Jones index are equally important, and the Shanghai index by the influence of bad news than good news for big.(6) before and after the financial tsunami, the price discovery function of each other are not clear, the relative effect of arbitrage is not clear. (7)before financial tsunami, the U.S. Dow Jones index and the Shanghai stock index HL, were 6.1 days and 14.1 days; after financial tsunami into 10 days and 6.4 days.
| Identifer | oai:union.ndltd.org:TW/098FGU05583018 |
| Date | January 2010 |
| Creators | 陳光照 |
| Contributors | 李銘章 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 80 |
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