The Impact of Subprime Crisis to the Asymmetric Contagion Among the stock markets of the U.S. and Asian Countries

• Main Authors: Chih-Sheng Chiang, 江枝昇
• Other Authors: Chieh-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/77176789019330768297

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 98 === This thesis uses the Enders and Granger (1988) and Enders and Siklos (2001) asymmetric threshold co-integration model to investigate the variation of the long run asymmetric equilibrium relationships between the US and Asian stock markets caused by the subprime mortgage crisis. The stock indexes include DOW JONES, NASDAQ, and S&P 500 for the US and Taiwan, Hong Kong, Singapore, South Korea, Japan and Shanghai for the Asian countries. This study first applies traditional correlation test and found that the correlations between the US and Asian stock markets significantly increase. The further evidences by EG-ES methodologies are as follows: (1) asymmetric co-integration relationship between U.S. and Asian stock markets increases dramatically after the subprime mortgage crisis; (2) significant asymmetric Granger causality from US to Asian stock markets and the long run asymmetric adjustment relationships are further confirmed by the Momentum-Threshold Error Correction model. All the results support the “contagion effect” of international stock market. Therefore we assert that the event of subprime mortgage crisis enhances co-movement of international stock markets and hence the investors are hard to use the international portfolios of the US stock and Asian stocks to fulfill the diversification