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The US and the Greater China Economic Area Stock Market Linkages——The case of the 2008 Global Financial Crisis

Rui, Shuang LU (2016) NEKP03 20161
Department of Economics
Abstract
This paper investigates the linkages between stock markets of the United States and the Greater China Economic Area including China mainland, Hong Kong and Taiwan. In order to find the effects of the 2008 global financial crisis, we use the weekly stock market indices of Standard and Poor’s 500, Dow Jones China 88, Hang Seng and Taiwan Stock Exchange Weighted for each stock market from January, 2000 to March, 2016. The data set is divided into pre-crisis period and post-crisis period. Both the Granger causality test and the bivariate GARCH model show the evidence of closer interaction and bilateral effects between stock markets after the financial crisis. Also the self-explained part of the variation in each stock market decreases... (More)
This paper investigates the linkages between stock markets of the United States and the Greater China Economic Area including China mainland, Hong Kong and Taiwan. In order to find the effects of the 2008 global financial crisis, we use the weekly stock market indices of Standard and Poor’s 500, Dow Jones China 88, Hang Seng and Taiwan Stock Exchange Weighted for each stock market from January, 2000 to March, 2016. The data set is divided into pre-crisis period and post-crisis period. Both the Granger causality test and the bivariate GARCH model show the evidence of closer interaction and bilateral effects between stock markets after the financial crisis. Also the self-explained part of the variation in each stock market decreases significantly according to the variance decomposition analysis and the bivariate GARCH model. In the meanwhile, principal component analysis gives the result of more integrated stock markets. (Less)
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author
Rui, Shuang LU
supervisor
organization
course
NEKP03 20161
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Market linkages, the Greater China Economic Area, the 2008 global financial crisis, the VAR analysis, the Bivariate GARCH model.
language
English
id
8876779
date added to LUP
2016-06-13 13:13:44
date last changed
2016-06-13 13:13:44
@misc{8876779,
  abstract     = {This paper investigates the linkages between stock markets of the United States and the Greater China Economic Area including China mainland, Hong Kong and Taiwan. In order to find the effects of the 2008 global financial crisis, we use the weekly stock market indices of Standard and Poor’s 500, Dow Jones China 88, Hang Seng and Taiwan Stock Exchange Weighted for each stock market from January, 2000 to March, 2016. The data set is divided into pre-crisis period and post-crisis period. Both the Granger causality test and the bivariate GARCH model show the evidence of closer interaction and bilateral effects between stock markets after the financial crisis. Also the self-explained part of the variation in each stock market decreases significantly according to the variance decomposition analysis and the bivariate GARCH model. In the meanwhile, principal component analysis gives the result of more integrated stock markets.},
  author       = {Rui, Shuang},
  keyword      = {Market linkages,the Greater China Economic Area,the 2008 global financial crisis,the VAR analysis,the Bivariate GARCH model.},
  language     = {eng},
  note         = {Student Paper},
  title        = {The US and the Greater China Economic Area Stock Market Linkages——The case of the 2008 Global Financial Crisis},
  year         = {2016},
}