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Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model

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  • Liu, Hsiang-Hsi

Abstract

The purpose of this study is to analyze the interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes by applying a trivariate FIEC-FIGARCH model. The empirical results confirm that the FIEC-FIGARCH model can be used to capture long memory behavior and allow us to conclude that mean and volatility spillover, and long memory effects are found in these three markets. Furthermore, we found that deviations in the long-run equilibrium for Japanese TFT-LCD panel industry adjust back very slowly in comparison to the other two countries; and that, in terms of conditional covariance, dynamic interrelationships exist among the TFT-LCD panel industry stock market indices of these three countries.

Suggested Citation

  • Liu, Hsiang-Hsi, 2012. "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2724-2733.
  • Handle: RePEc:eee:ecmode:v:29:y:2012:i:6:p:2724-2733
    DOI: 10.1016/j.econmod.2012.08.014
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    References listed on IDEAS

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    More about this item

    Keywords

    Long memory; FIEC-FIGARCH model; Spillover effects; Fractional cointegration;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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