IDEAS home Printed from https://ideas.repec.org/a/zag/zirebs/v15y2012i2p89-101.html
   My bibliography  Save this article

An Empirical Analysis of Nonlinear Dynamics Relationship between the United States and Taiwan Stock Markets

Author

Listed:
  • Yen-Hsien Lee

    (Chung Yuan Christian University, Chung Li, Taiwan)

Abstract

This paper investigates the co-integration and causal relationships by threshold model and non-linear adjustments relationship by STAR model between the U.S. and Taiwan stock market. The fi ndings indicate that there exists an asymmetric threshold co-integration relationship between the U.S. and Taiwan stock markets. Moreover, this paper further fi nds that this is signifi cant evidence of non-linearity in the TAIEX return, and the nonlinear dynamic adjustments of the S&P 500 and TAIEX prices follow the logistic transition function. The contribution of this study demonstrates that the LSTECM-GARCH is well suited to describing the short-run and long-run dynamic relationship between the U.S. and Taiwan stock markets.

Suggested Citation

  • Yen-Hsien Lee, 2012. "An Empirical Analysis of Nonlinear Dynamics Relationship between the United States and Taiwan Stock Markets," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 15(1), pages 89-101, May.
    • Handle: RePEc:zag:zirebs:v:15:y:2012:i:2:p:89-101
    as

    Download full text from publisher

    File URL: http://www.efzg.hr/default.aspx?id=17769
    Download Restriction: Abstract only available on-line
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Asymmetric Threshold Co-integration; STECM-GARCH; Non-linear Adjustments Relationship;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G5 - Financial Economics - - Household Finance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zag:zirebs:v:15:y:2012:i:2:p:89-101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jurica Šimurina (email available below). General contact details of provider: https://edirc.repec.org/data/fefzghr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.