| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 97 === This study establishes a STVAR-GJR-GARCH model to test the impact, volatility spillover and contagion effects of U.S. - and Europe- (Emerging-) bond market after subprime crisis. The empirical results show that the subprime crisis had a significant impact (non-significant impact) on the expected returns of U.S. and Emerging- (Europe-) bonds.
Moreover, this study explores whether the volatility spillover effects of Europe- and Emerging market-bond occur by transmission of the volatility of U.S. bond market. This study explores the causal direction between U.S. - and Europe- bond (U.S.- and Emerging- bond) indexes in the pre- and post- periods of subprime crisis. Furthermore, this study analyzes whether the lead/lag relationship between U.S.- and Europe- bond (U.S. - and Emerging- bond) indexes changes after this crisis.
After the subprime crisis, the causal relation between U.S.- and Europe- bond markets is confused due to the synchronous risk contagion. Moreover, the crisis would increase the reciprocal effect from Emerging-bond market to U.S.- (Europe-) bond market. Conclusively, the research proves that contagion effects existed in U.S.- and Europe- (Emerging-) bond markets.
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