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|標題:||Spillovers of Stock Return and Volatility
-- Empirical study from Industrial Indexes
|關鍵字:||spillover;傳動;industrial indexes;Dynamic conditional correlation coefficient(DCC);產業指數;動態條件相關係數||出版社:||財務金融系所||引用:||Amato J. and K. Tsatsaronis (2001), “Is”there a Nasdaq effect in emerging equity markets?“, BIS Quarterly Review, June 40-8. Baca SP, B Garbe and R Weiss (2000), “The Rise of Sector Effects in Major Equity Markets”, Financial Analyst Journal, 35- 40. Cavaglia, Brightman, and Aked (2000), “On the increasing importance of industry factors: implications for global portfolio management”, Financial Analysts Journal, 41-54. Cheung YW, J He and LK Ng (1997) “common predictable components in regional stock markets”, Journal of Business and Economics Statistics 15, 35- 42. Doong Shuh-Chyi, Wen-Shwo Fang, Kuan-Min Wang (2006), “Contagion Effects in stock market during the Asian financial crisis”, 管理評論, April 2006, 61-82. Engle R.F. and Kroner K.F. (1995),”Multivariate simultaneous generalized GARCH”, Econometric Theory 11, 122 - 50. Engle Robert F (2002), “Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity model”, Journal of Business and Economic Statistic 20, 339-350. Engle Robert F, Kevin Sheppard (2001), “Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH”, University of California at San Diego, Economics Working Paper Series with number 2001-15. Eun Cheol S. and Sangdal Shim(1989) , “International Transmission of Stock Market Movements”, The Journal of Financial and Quantitative Analysis 24, 241-256. Forbes KJ, R Rigobon (2002), “No Contagion, Only Interdependence: Measuring Stock Market Comovements”, Journal of Finance, 2223-2261. Glosten L.R., R. Jagannathan and Runkle D.E. (1993), “On the relation between the expected value and the volatility of the nominal excess return on stocks”, The Journal of Finance 48(5), 1779-1801. Granger C. and Oskar Morgenstern (1970), “Predictability of stock market prices”, Lexington, Mass: Heath Lexington Books. Griffin, John M., Karolyi and G. Andrew (1998), “Another look at the role of the industrial structure of markets for international diversification strategies”, Journal of Financial Economics 50, 3 , 351-373. Grionold, Richard,Andrew Rudd and Dan Stefeck (1989) , “Global factors:fact or fiction”, Journal of Portfolio Management 16, 79-89. Grubel H. (1968), “Internationally diversified portfolios: Welfare Gains and capital flows”, American Economic Review 58, 1299-1314. Heston, Steven L. Rouwenhirst, K. Geert (1994), “Does industrial structure explain the benefits of international diversification?”, Journal of Financial Economics 36, 1, 3-28. Hilliard J. (1979), “The relationship between equity indices on world exchange”, Journal of Finance 34, 103-144. Ibbotson RG., RC Carr and AW Robinson (1982), “International equity and bond returns”, Financial Analysts Journal, 61-83. King M A. and Wadhwani S. (1990), “Transmission of volatility between stock markets”, The Review of Financial Studies 3, 1, 5-33. Lessard D. (1974), “World, national and industry factors in equity returns”, Journal of Finance 24, 379-391. Miyakosh Tatsuyoshi (2003), “Spillover of stock return volatility to Asian markets from Japan and the US”, Journal of International Finance 13, 383 - 399. Panton D., VP Lessig and OM Joy (1976), “Comovement of international equity markets: a taxonomic approach”, Journal of Financial and Quantitative Analysis 11, 1976. Ratanapakorn Orawan and Subahash C. Sharma (2002), “Interrelationships among regional stock indices”, Review of Financial Economics 11, 91-118. Ripley D. (1973), “Systematic Elements in the linkage of national stock market indices ”, Review of Economics and Statistics 55, 1973. Roll, Richard (1992), “Industrial structure and the comparative behavior of international stock market indices”, The Journal of Finance 47,1 ,3-42. Savva Christos S, Denise R. Osborn and Len Gill (2005), “spillover and correlations between the US and major European stock markets: the role of the Euro”, Economics discussion paper. Taing Siv and Andrew Worthington (2005), “Return relationship among European equity sectors: a comparative analysis across selected sectors in small and large economics”, Journal of Applied Economics 8, 2, 371-388. Wei K.C. John, Yu-Jane Liu, Chan-Chen Yang (1995), “Volatility and price change spillover effects across the developed and emerging markets”, Pacific-Basin Financial Journal 3, 113-136.||摘要:||
In the first part of this paper, we investigate the spillover effects of returns and fluctuations between the US and Asian countries, and between Japan and other Asian countries from the perspective of industrial index. Next, utilizing the conditional dynamic correlation coefficient, as well as the market value and trade volume of the specified industry, it is to be determined if the market indices are correlated to a particular industrial index in the US and Asian countries, as well as Japan and the other Asian countries. The sample period is from 2 January 1995 to 20 October 2005. Regardless of market indices or industrial indices, the returns in the US has a more significant influence than that in Japan on the Asian countries. The spillover of some industrial indexes are even large than the one of market index. With regards to the variance equation, the influences of the US and Japan on the same industries in the Asian countries are not as significant. However, the fluctuations in Japan are influenced by the same industries in the East Asian Tigers. The second part find that the industrial sector (CS) in Hong Kong (HK), the industrial sector (FI) in Indonesia (ID), the industrial sector (IT) in South Korea (KO), the industrial sector (FI) in Malaysia (MY), the industrial sector (CS), (NC) and (RE) in Philippines (PH) and the industrial sector (IT) and (NS) in Singapore (SG) may drive the relationship between the market indices in the US forward. The industrial sector (IT) in Taiwan (TA) may may drive the relationship between the market indices in Japan forward.
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