政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/6099

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51720885 Online Users : 629

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6099

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6099

Title:	The Study of Cointegration and Variance Decomposition among National Equity Indices before and during the period of the Asian Financial Crisis
Authors:	Tu, Anthony H.;Hsiao-Ching Sheng 杜化宇
Keywords:	Asian financial crisis;Cointegration;Variance decomposition
Date:	2000-10
Issue Date:	2008-11-05 16:54:34 (UTC+8)
Abstract:	This study uses a cointegration and variance decomposition analysis to examine the linkages among the stock markets of 12 Asia-Pacific countries, before and during the period of the Asian financial crisis. Johansen (1988) multivariate cointegration and error-correction tests demonstrate evidence in support of the existence of cointegration relationships among the national stock indices during, but not before, the period of financial crises. In the recent crisis, the relationship within the South-East Asian countries seems to be stronger than that within the North-East Asian countries. The variance decomposition reveals that the "degree of exogeneity" for all indices has been reduced, implying that no countries are "exogenous" to the financial crisis. In addition, Granger`s causality test suggests that the US market still "causes" some Asian countries during the period of crisis, reflecting the US market`s persisting dominant role.
Relation:	Journal of Multinational Financial Management, 10(3), 345-365
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/S1042-444X(00)00034-7
DOI:	10.1016/S1042-444X(00)00034-7
Appears in Collections:	[財務管理學系] 期刊論文

Files in This Item:

File	Description	Size	Format
345-365.pdf		509Kb	Adobe PDF2	682	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...