| 来源类型 | FEEM working papers "Note di lavoro" series
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| 规范类型 | 论文
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| STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US |
| Matteo Manera; Giorgio Busetti
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| 发表日期 | 2003
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| 出处 | Economy and Society
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| 出版年 | 2003
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| 语种 | 英语
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| 摘要 | We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlation-cointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR-GARCH models for the series of stock market daily returns, using Nikkei225 and S&P500 as alternative threshold variables. We provide evidence for the leading role of Japan in the period 1988-1990 (pre-Japanese crisis years), whereas our results suggest that the Pacific Basin region countries are more closely linked with the US during the period 1995-1999 (post- Japanese crisis years). |
| 特色分类 | C22,C51,C52,F36
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| 关键词 | STAR-GARCH models,stock market integration,Pacific-Basin capital markets,outliers
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| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/star-garch-models-for-stock-market-interactions-in-the-pacific-basin-region-japan-and-us/
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| 来源智库 | Fondazione Eni Enrico Mattei (Italy)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/116871
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推荐引用方式
GB/T 7714 |
Matteo Manera,Giorgio Busetti. STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US. 2003.
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