碩士 / 嶺東科技大學 / 財務金融研究所 / 102 / The financial tsunami of 2008 is the mostly grave financial event since this century. This thesis studies the stock markets of America and Asian Tigers, using Granger Causality, Cointegration test and GJR-GARCH model to analysis how does the risk spread between America and Asia Tigers. We found that American stock market has a great effect on the Asian markets. And bad information has greater effect on future return than good information. Especially when considerate the structure change, the leverage effect is greater after structure change.
| Identifer | oai:union.ndltd.org:TW/102LTC00304001 |
| Date | January 2014 |
| Creators | Lin TingYao, 林挺堯 |
| Contributors | Yung-Lieh Yang, 楊永列 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 40 |
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