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| 論文名稱 | Contagion in International Stock Markets After the Subprime Mortgage Crisis |
| 發表日期 | 2018-06-30 |
| 論文收錄分類 | 其他 |
| 所有作者 | Wei-Shun Kao, Tzu-Chuan Kao, Chang-Cheng Changchien, Li-Hsun Wang, Kuei-Tzu Yeh |
| 作者順序 | 第四(以上)作者 |
| 通訊作者 | 否 |
| 刊物名稱 | The Chinese Economy |
| 發表卷數 | 51 |
| 是否具有審稿制度 | 是 |
| 發表期數 | 2 |
| 期刊或學報出版地國別/地區 | NATGBR-英國 |
| 發表年份 | 2018 |
| 發表月份 | 6 |
| 發表形式 | 電子期刊 |
| 所屬計劃案 | 無 |
| 可公開文檔 |
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| 可公開文檔 |
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| 可公開文檔 |
[摘要] :
請在此輸入摘要 The study focuses on utilizing a modified heteroskedasticity biased test for contagion based on cross-market correlation coefficients proposed by Forbes and Rigobon (2002) to find the evidence of contagion on 31 stock markets during 2007 US subprime mortgage turmoil. In contrast to the empirical results of Forbes and Rigobon (2002), which indicated that there were no contagion only interdependence during the 1997Asian crisis, 1994 Mexican peso devaluation, and 1987 US market crash, the empirical results demonstrate that the contagion occurred on emerging and East Asian stock markets during 2007 US subprime mortgage crisis. With extensions in the duration of the crisis, the contagion disappeared rapidly, and only the contagion occurred on Brazilian stock market that lasted for 6 months.
[英文摘要] :
請在此輸入英文摘要 The study focuses on utilizing a modified heteroskedasticity biased test for contagion based on cross-market correlation coefficients proposed by Forbes and Rigobon (2002) to find the evidence of contagion on 31 stock markets during 2007 US subprime mortgage turmoil. In contrast to the empirical results of Forbes and Rigobon (2002), which indicated that there were no contagion only interdependence during the 1997Asian crisis, 1994 Mexican peso devaluation, and 1987 US market crash, the empirical results demonstrate that the contagion occurred on emerging and East Asian stock markets during 2007 US subprime mortgage crisis. With extensions in the duration of the crisis, the contagion disappeared rapidly, and only the contagion occurred on Brazilian stock market that lasted for 6 months.
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