Economic Determinants of Co-movement Across International Stock Markets: The Example of Taiwan and its Key Trading Partners
學年 96
學期 2
出版（發表）日期 2008-05-01
作品名稱 Economic Determinants of Co-movement Across International Stock Markets: The Example of Taiwan and its Key Trading Partners
作品名稱（其他語言）
著者 Lin, Cho-min; Cheng, Wan-hsiu
單位 淡江大學財務金融學系
出版者 Abingdon: Routledge
著錄名稱、卷期、頁數 Applied Economics 40(9), pp.1187-1205
摘要 This study uses the multinomial logit model in which comovements are categorized into three outcomes, namely (i) negative comovements, (ii) positive comovements and (iii) no comovements, with the purpose of the empirical analysis being to investigate the economic determinants that affect the comovement relationships in the stock markets for Taiwan and four major trading partners (Mainland China, United States, Japan and Hong Kong) using daily data covering the period from 1994 to 2004. The period under study is further divided into three sub-periods, i.e. the period before the Asian financial crisis, that during the Asian financial crisis and that after the Asian financial crisis, in order to determine whether the factors influencing the comovements in the stock market returns of Taiwan and its trading partners actually change over time. In addition, this study differs from earlier studies that only emphasized the analysis of statistical significance in that it attaches importanace to analysing both the statistical and economic significance of the factors affecting comovements. The empirical results indicate that, regardless of whether it is the period during or after the financial crisis that is being considered, the volatility of stock market returns and the rate of change in the exchange rate are both important factors that affect comovement. In addition, interest rate differentials play an increasingly important role in the period after the financial crisis.
關鍵字
語言 en
ISSN 1466-4283
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Lin, Cho-min
審稿制度 是
國別 GBR
公開徵稿
出版型式 電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72418 )

機構典藏連結
SDGS 尊嚴就業與經濟發展