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標題: Integration and Interrelatedness of Stock and Foreign Exchange Markets in Pre and Post Asian Financial Crisis Periods-The Empirical Study of Asian Four Little Dragons, the US and Japan
作者: 何國誠
Ho, Kuo-Cheng
關鍵字: Integration;整合性;Interrelatedness;Asian crisis;VAR model;Dynamic linkages;相互關聯性;亞洲金融風暴;向量自我迴歸模型;動態連結
出版社: 財務金融研究所

This paper examines the integration and interrelatedness of stock and foreign exchange markets for Asian Four Little Dragons. In addition, this study determines whether the extent and nature of stock and foreign exchange markets integration in the period of the post-Asian crisis differs from that of the pre-Asian crisis. In investigating the extent of integration, this study takes into account the interdependence between foreign exchange rates and stock prices, since exchange rates influence international competitiveness of firms, and, via interest rates, the cost of capital. The approach in this paper adopts ADF Unit Root Test, Johansen Cointegration Test, VAR model , Granger Causality Test, Impulse Response Analysis, and Variance Decomposition. The sample period starts from June 1, 1993 to October 28, 2003. Daily data in total of 2716 observations.
The results indicate that no cointegrating relationship exists among the variables in the system both before and after the Asian financial crisis. Thus, in spite of some evidence of lack of long-run comovements in financial prices both before and after the Asian financial crisis, but short-term dynamic linkages among markets have stronger in the post-Asian crisis period than in the pre-Asian crisis period. Furthermore, the impulse response analysis indicates a contemporaneous transmission of shocks from one market to other markets.
Appears in Collections:財務金融學系所

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