The Asymmetric Contagion Effect from the U.S.Stock Market to European and Latin American Stock Markets around the Subprime Mortgage Crisis
This paper uses the Enders and Granger (1988) and Enders and Siklos (2001) asymmetric threshold co-integration model to examine the long-run asymmetric equilibrium relationships between the U.S.and three major European and the U.S.and three major Latin American stock markets during the Subprime Mortgage Crisis.The U.S.stock indexes include DOW JONES,NASDAQ,and S&P 500.The European and Latin American stock markets include the U.K.,Germany,France,Mexico,Argentina,and Brazil stock markets.This study also uses the Chen,Finney and Lai (2005) Momentum Threshold Error Correction model (M-TECM) to explore the short-run asymmetric transmission effect from the U.S.to European and Latin American stock markets and asymmetric adjustment of their long-run relationships.Firstly,from the major empirical results of our research,we have found that partially asymmetric co-integration between the U.S.and European and the U.S.and Latin American stock markets has increased during the crisis,which partly supports the “contagion effect” and partly supports the “interdependence effect” of the international stock markets,which was proposed by Forbes and Rigobon (2001).Secondly,we have found that the short-run asymmetric transmission effect has significantly increased during the crisis by using the asymmetric Granger causality test.Hence,the event of the subprime mortgage crisis enhanced partial co-movement between the U.S.and European and the U.S.and Latin American stock markets,except the Argentina stock market,which demonstrated only the interdependence effect with S&P 500.Therefore,if the investors in these countries want to diversify risks by utilizing the investment portfolios of the stock markets in the U.S.and their own countries,they should cautiously consider the correlations of the categories of industries before making any investment during the subprime mortgage crisis.
Asymmetric Threshold Co-integration Asymmetric Threshold Error Correction Model Contagion effect Stock Market. Subprime Mortgage Crisis
Chien-Chung Nieh Yu-Sheng Kao Yu-Shan Wang
Dept. of Banking & Finance,Tamkang University,Tamsui,Taipei,251,Taiwan Department of Banking and Finance,Tamkang University,Taipei,Taiwan Department of Money and Banking,National Kaohsiung First University of Science and Technology,Taiwan
国内会议
成都
英文
1-30
2009-10-31（万方平台首次上网日期，不代表论文的发表时间）