| Summary: | 碩士 === 中原大學 === 國際貿易研究所 === 96 === Abstract
The capital market’s reaction to the subprime mortgage crisis is analyzed in this paper by analyzing 27 American Depository Receipts (ADRs) from 15 countries and their underlying indexes in the period of the beginning of 2000 to Feb. 2008. The Generalized Conditional Heteroscedasticity-Autoregressive Moving Average (GARCH-ARMA) and the Expotentially Generalized Conditional Heteroscedasticity-Autoregressive Moving Average (EGARCH-ARMA) are employed to examine the existence of return and volatility spillover and leverage effects among ADR markets and foreign stock markets.
The sample is classified by industry and area to examine the transmission between ADR markets and foreign stock markets. From industry perspective, the significant return spillover effects from ADR markets to foreign underlying stock markets for financial industries are identified. The empirical results also suggest the financial industries have relatively significant bi-lateral relationships of volatility spillover effects. The evidence reveals that European, Asian, and Oceania markets have positive returns transmitted from lagged ADRs returns to the local stock indexes returns. Notably, the empirical results also indicate that significant bi-directional spillover and leverage effects of return and volatility exist in the European and Asian markets.
Moreover, this paper uses Adaptive Neuro-Fuzzy Inference System (ANFIS) equipped with fuzzy inference and self-learning capability in neuro network to predict the future price of ADR. The results show that ANFIS has a better forecast than GARCH-ARMA model.
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