| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 101 === The purpose of this research is to explore eight Emerging Asian Stock Markets contagion effect during the European sovereign crisis. Most of the past documents were all focus on the contagion of the relationship between countries, few of them had explore the way how contagion transmission. As a result, this research try to explore Emerging Asian Stock Markets contagion transmission during the European sovereign crisis. We use a three-factor asset-pricing model to set a benchmark for what global equity market co-movements should expected to be, based on existing fundamentals, and take "excess correlation" by Bekaert et al.(2005) as definition of the contagion effect. At the same time, use contagion effect test modle by Bekaert et al.(2005).This paper use database from Datastream, during the research time is from 2000/1/1 to 2012/12/31. Our empirical findings: (1) The dynamic factor model that can capture all interdependence of national stock markets appropriately, but only on subprime mortgage crisis have contagion effect while the European debt crisis did not. (2) Eight of Asian emerging countries, the source of subprime mortgage crisis are from global financial factors and domestic spread. (3) Eight of Asian emerging countries in the subprime crisis and the European debt crisis, whether interdependence or contagion effect, are affected by the global financial or liquidity conduction. We based on this result, supporting the globalization hypothesis.
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