Contagion in international stock markets after subprime mortgage crisis: Is it a reality?

Contagion in international stock markets after subprime mortgage crisis: Is it a reality?

碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 99 === This study adopts a Vector Autoregression (VAR) framework to estimate cross-market correlations and examines whether the contagion effect of the U.S. subprime financial turmoil exist around 32 markets. Regardless of using the conditional (unadjusted) corre...

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Bibliographic Details
Main Authors: Kuei-Tzu Yeh, 葉貴子
Other Authors: Chu-Hsiung Lin
Format: Others
Language:en_US
Published: 2010
Online Access:http://ndltd.ncl.edu.tw/handle/52460739915900767733
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spelling ndltd-TW-099NKIT52180022015-10-13T19:35:31Z http://ndltd.ncl.edu.tw/handle/52460739915900767733 Contagion in international stock markets after subprime mortgage crisis: Is it a reality? 次貸危機後蔓延效應在國際股市間是否真的存在? Kuei-Tzu Yeh 葉貴子 碩士 國立高雄第一科技大學 風險管理與保險研究所 99 This study adopts a Vector Autoregression (VAR) framework to estimate cross-market correlations and examines whether the contagion effect of the U.S. subprime financial turmoil exist around 32 markets. Regardless of using the conditional (unadjusted) correlation coefficients or the unconditional (adjusted) correlation coefficients, there was virtually no increase in most of the 32 countries (i.e., no contagion) during the subprime mortgage crisis. Chu-Hsiung Lin 林楚雄 2010 學位論文 ; thesis 52 en_US
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language en_US
format Others
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description 碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 99 === This study adopts a Vector Autoregression (VAR) framework to estimate cross-market correlations and examines whether the contagion effect of the U.S. subprime financial turmoil exist around 32 markets. Regardless of using the conditional (unadjusted) correlation coefficients or the unconditional (adjusted) correlation coefficients, there was virtually no increase in most of the 32 countries (i.e., no contagion) during the subprime mortgage crisis.
author2 Chu-Hsiung Lin
author_facet Chu-Hsiung Lin
Kuei-Tzu Yeh
葉貴子
author Kuei-Tzu Yeh
葉貴子
spellingShingle Kuei-Tzu Yeh
葉貴子
Contagion in international stock markets after subprime mortgage crisis: Is it a reality?
author_sort Kuei-Tzu Yeh
title Contagion in international stock markets after subprime mortgage crisis: Is it a reality?
title_short Contagion in international stock markets after subprime mortgage crisis: Is it a reality?
title_full Contagion in international stock markets after subprime mortgage crisis: Is it a reality?
title_fullStr Contagion in international stock markets after subprime mortgage crisis: Is it a reality?
title_full_unstemmed Contagion in international stock markets after subprime mortgage crisis: Is it a reality?
title_sort contagion in international stock markets after subprime mortgage crisis: is it a reality?
publishDate 2010
url http://ndltd.ncl.edu.tw/handle/52460739915900767733
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