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    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?”
    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

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