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https://ah.lib.nccu.edu.tw/handle/140.119/72661
題名: | Dynamic Linkages Between the New York and Tokyo Stock Markets:A Vector Error Correction Analysis | 作者: | 賴松鐘 Lai, Michael;Lai, Kon S.;Fang, Hsing |
貢獻者: | 財管系 | 日期: | 1993 | 上傳時間: | 8-Jan-2015 | 摘要: | This study examines dynamic linkages between the New York and Tokyo stock markets using daily index data. In contrast to previous analyses, both short-term and long-term intermarket adjustments are modeled and estimated simultaneously based on a vector error correction model of cointegration. Significant evidence for both short- and long-term feedback relationships between the two stock markets is found. Further subsample analysis reveals that the presence of two-way effects between the two markets is a rather recent phenomenon taking place in the late-1980s. notably in the post-1987 crash period. The results suggest that the New York and Tokyo markets are increasingly interdependent over time, and that the U.S. market is not always the leading stock market. | 關聯: | Journal of International Financial Markets Institutions & Money, 3(2), 73-96 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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