The US and the Greater China Economic Area Stock Market Linkages——The case of the 2008 Global Financial Crisis
(2016) NEKP03 20161Department 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)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8876779
- author
- Rui, Shuang LU
- supervisor
- organization
- course
- NEKP03 20161
- year
- 2016
- 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}}, 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}}, }