English  |  正體中文  |  简体中文  |  Items with full text/Total items : 90437/105768 (86%)
Visitors : 10930950      Online Users : 374
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/2076


    Title: Does Contagion Effect Exist Between Stock Markets of Thailand and Chinese Economic Area (CEA) during the “Asian Flu?”
    Authors: THANH-BINH NGUYEN THI;KUAN-MINWANG
    Contributors: College of Business, Ph.D. Program, Feng Chia University
    Keywords: Asian financial crisis;Chinese economic area;stock market;contagion effect;ICSS algorithmDCC estimator
    Date: 2006-04
    Issue Date: 2009-10-13 15:21:53 (UTC+8)
    Publisher: Asia University
    Abstract: This study tests whether contagion effects exist, during the “Asian flu”, between the stock
    markets of Thailand and the Chinese economic area (CEA), including China, Hong Kong, and Taiwan.
    The time points of structural breaks in stock return volatility are detected first, based on the iterated cumulative sums of squares (ICSS) algorithm developed by Incl?n and Tiao (1994), to identify the crisis period and to add dummies to avoid the overestimation of volatility. Then, time-varying correlation coefficients are estimated by the dynamic conditional correlation (DCC) multivariate GARCH model of Engle (2002). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in post-crisis period differs from that in the pre-crisis stable period. Empirical findings show that the stock markets displayed a significant increase in the means of correlation
    coefficients across markets between the pre-crisis and post-crisis periods. This proves the existence of contagion between the studied markets.
    Relation: Asian Journal of Management and Humanity Sciences 1(1):16-36
    Appears in Collections:[Asian Journal of Management and Humanity Sciences] v.1 n.1

    Files in This Item:

    File Description SizeFormat
    02-mhs06027.pdf259KbAdobe PDF6382View/Open


    All items in ASIAIR are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback