The Spillover Effects of Subprime Mortgage Crisis : The case of Next Eleven Countries

• Main Authors: Siou-Yi Lin, 林秀怡
• Other Authors: Shu-Mei Chiang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/57981600856398197765

碩士 === 龍華科技大學 === 商學與管理研究所 === 98 === This study applies Chan and Maheu(2002) ARJI model (Autoregressive Conditional Jump Intensity model) to investigate the impact of subprime mortgage crisis in U.S. on the stock markets of Next Eleven and provide references for investors when investing in the stock markets. The empirical results indicate that, firstly, U.S. stock market does have significant spillover effects on those of Next Elevens. As regard to rate of return, the effects of U.S. stock market on that of Philippines and Bangladesh are positive following the burst of subprime mortgage crisis; on the contrary, the influence is negative for Iran, Nigeria and Pakistan. In terms of volatility, U.S. stock market has significant positive effects on Indonesia, Iran, Philippines, Bangladesh and Korea, whilst it is negative for Pakistan and Egypt. Secondly, from the viewpoint of market efficiency and total risk, the investors can invest their funds into low risk and higher information efficiency stock market, such as Iran and Bangladesh. At the same time, they had better reduce their investments in Turkey and Indonesia. Thirdly, by observing the jump behavior estimated by the ARJI model, the results show that whenever there are important event occurring in the stock market, the average jump intensity will be greater than the average of the sample. Therefore, it is necessary to take the jump intensity into consideration when doing the related research.