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A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises

Listed author(s):
  • Yu-Hau Hu

    ()

    (Department of International Business, Cheng Shiu University, Kaohsiung, Taiwan)

  • Shun-Jen Hsueh

    ()

    (Department of Financial Management, Cheng Shiu University, Kaohsiung, Taiwan.)

Registered author(s):

    This study employs the nonlinear Panel TAR (Threshold Autoregressive) model to examine the relationships among the U.S. and Asian stock markets. The aims are to distinguish the impacts of the U.S. stock market on the Asian stock markets, both in normal periods and financial crises periods, and develop an early-warning system for such markets. Our results show that during periods of financial crises the Asian stock markets are profoundly influenced by the U.S. stock market, and less affected by the returns of their own stock markets. In contrast, during non-financial crisis periods the performance of the Asian stock markets has a positive correlation with their own returns in the previous period, and a negative correlation with the U.S. stock market.

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    File URL: http://www.ipe.ro/rjef/rjef4_13/rjef4_2013p134-147.pdf
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    Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

    Volume (Year): (2013)
    Issue (Month): 4 (December)
    Pages: 134-147

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    Handle: RePEc:rjr:romjef:v::y:2013:i:4:p:134-147
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