||The Empirical Research of Asymmetric Relationships among the United States Stock Market and International Stock Markets around the Subprime Mortgage Crisis
||Department of Banking and Finance
Asymmetric Threshold Co-integration Model
Logistic Smooth Transition Co-integration Model
Subprime Mortgage Crisis
||近來在高度的全球化與自由化之下，各國貿易及金融交易往來頻繁，其金融、證券市場之間的連動性與日俱增。因此，探討國際間經濟衝擊之傳遞 (transmission) 或蔓延 (contagion) 的課題，相當受到學者及實務專家的重視。尤其近廿年來，全球發生經濟、金融危機的次數越趨於頻繁，每一次危機事件的發生，國際間股市皆呈現顯著的危機傳遞、蔓延的共同移動 (co-movement) 或是共同趨勢 (common trend) 效果，不僅導致各國股市的重創，也使得投資人欲藉由國際證券的投資組合 (portfolio) 以達到分散風險的效果大為降低。
2007 年 3 月初，發生於美國的所謂「次級房貸危機」，除重創了美國與西歐的金融、證券及信貸市場，並迅速地蔓延到世界各國的金融市場，更對各國的實體經濟面造成巨大衝擊，企業倒閉所引發的失業潮，以及資本支出、消費、投資與進出口的減少，導致了全球自 1930 年代經濟大恐慌以來最嚴重的
第一部份的主題為 “次級房貸危機前後美股對亞洲、歐洲及美洲股市的不對稱性蔓延效果─門檻共整合模型之應用”。在此部分中，我們將採用 Enders and Siklos (2001) 的不對稱門檻共整合模型，分析在次貸危機的前後，美股與亞洲、歐洲與美洲各國股市之間的共整合關係是否有所差異？探討次貸危機是否會使美股對亞洲、歐洲及美洲各國的股市產生不對稱的蔓延現象。第二部分的主題則為 “次級房貸危機前後，誰對亞洲股市具有較強的影響性─美國或是中國”。在此部分中，我們同樣將利用上述的方法，分析在次貸危機的前後，美國股市與中國股市兩者與亞洲各國股市之間共整合關係的改變，探討兩國股市對亞洲各國股市影響力在次級房貸危機前後的變化。而第三部份的主題則為 “次級房貸危機前後美股對亞洲、歐洲及美洲股市的不對稱性蔓延效果─對數平滑轉換共整合模型之應用”。在此部份中，我們將進一步採用以 Granger and Teräsvirta (1993)及 Teräsvirta (1994) 所提出之 logistic smooth transition regression (LSTR) 方法擴充後的 Enders-Siklos 門檻共整合模型，探討次貸危機是否會使美股對亞洲、歐洲及美洲各國的股市產生不對稱的蔓延現象。
|| In recent years, because of globalized and deregulated financial markets and frequent international trade and financial transactions all over the world, the relatedness among security markets has been steadily on the increase. Therefore, exogenous events, shock transmission, and crisis contagion are the issues that researchers and government officials have been interested in, especially when frequent economic and financial crises took place all over the world in the past twenty years. Every time when a financial crisis occurs, there are significant co-movement effects or common trend effects in crisis transmission or contagion among international stock markets. The co-movement or common trend not only inflicts heavy losses in the international stock markets, but it also weakens the effect of risk diversification for investors who utilize international security portfolios.
Past literature about the transmission and contagion effect often employed the co-integration method to examine whether the co-integration relationship around the crises had changed and whether the contagion effect had existed. However, many empirical research pointed out that the assumption of “symmetric adjustments” in the traditional co-integration model ignored that the adjustment speeds were different when the stock market was in an upward status or in a downward status, which demonstrated the “asymmetric” or “nonlinear” features which are often unconsidered in the traditional co-integration method.
In early March 2007, “the subprime mortgage crisis,” which occurred in the United States, seriously affected the financial, security, and credit markets in the U.S. and Western Europe, quickly spread to the financial markets in other countries and also hit the real output in the economy in these countries. Corporate bankruptcies accompanied by unemployment import and capital expenditure cuts led to the decline in every country in consumption, investment, import, and export. The scholars thought the chain reactions incurred by the subprime mortgage crisis had never been seen since the Great Depression. Furthermore, the China financial market has been growing fast in recent years, and the influence from China to Asian financial markets has also been steadily on the increase, which is what investors and researchers have been interested in. One of the issues they are concerned with is the influence of China and whether it can keep pace with the U.S., even surpass the U.S., especially after the subprime mortgage crisis.
Because past literature about the contagion effect due to the financial crisis mostly emphasized the crisis from emerging markets, the scope of their influence was limited. The subprime mortgage crisis was from the U.S. and Western Europe, which makes it necessary for us to further explore its impact. This article employed the suitable time series model to investigate whether the relatedness between the U.S. stock market and Asian, European, and American stock markets around the subprime mortgage crisis had changed, and whether the relatedness between the U.S. and China’s stock markets and Asian stock markets had also changed.
The empirical analysis in this article is classified into three main parts. The topic of the first part is "The Asymmetric Contagion Effect from the U.S. Stock Market to Asian, European and American Stock Markets around the Subprime Mortgage Crisis—An Application of the Threshold Co-integration Model." We employed the Enders and Siklos (2001) asymmetric threshold co-integration model to investigate whether the co-integration relationships between the U.S. stock market and Asian, European, and American stock markets around the subprime mortgage crisis had changed, which analyzed whether the asymmetric contagion effects between the U.S. stock market and these markets around the subprime mortgage had existed. The topic of the second part is "Who has more influence on Asian Stock Markets around the Subprime Mortgage Crisis－the United States or China?." In this part, we also employed the above-mentioned methods to investigate the changes in the asymmetric co-integration relationships between the U.S. and China’s stock markets and Asian stock markets, which analyzed the changes of influence between the U.S. and China’s stock markets and Asian stock markets. The topic of the third part is "The Asymmetric Contagion Effect from the U.S. Stock Market to Asian, European and American Stock Markets around the Subprime Mortgage Crisis－An Application of the Logistic Smooth Transition Co-integration Model." Furthermore, in this part, we employed the Granger and Teräsvirta (1993) and Teräsvirta (1994) logistic smooth transition regressive (LSTR) method, which was the expansion of the Enders-Siklos threshold co-integration model, to investigate whether the asymmetric contagion effects between the U.S. stock market and Asian, European, and American stock markets around the subprime mortgage had existed.
||Chinese Abstract iii
English Abstract vi
Table of Contents viii
List of Tables x
List of Figures xii
Chapter 1 Synopsis of the Dissertation 1
Chapter 2 Introduction Remark 4
Chapter 3 Literature Review 11
3.1 The Definition of Contagion 11
3.2 The Examine Methods for Contagion Effect 12
Chapter 4 Methodologies 16
4.1 Advanced Nonlinear ESTAR Unit Root Test 16
4.2 Threshold Co-integration and Asymmetric Adjustment 17
4.3 The Logistic Smooth Transition Co-integration Model 20
Chapter 5 Empirical Investigation 24
Part I The Asymmetric Contagion Effect from the U.S. Stock Market to International Stock Markets around the Subprime Mortgage Crisis — An Application of the Threshold Co-integration Model
5.1.1 Data Description 24
5.1.2 Empirical Results and analysis 26
Part II Who has more influence on Asian Stock Markets around the Subprime Mortgage Crisis — the United States or China?
5.2.1 Data Description 42
5.2.2 Empirical Results and analysis 42
Part III The Asymmetric Contagion Effect from the U.S. Stock Market to International Stock Markets around the Subprime Mortgage Crisis — An Application of the Logistic Smooth Transition Co-integration Model
5.3.1 Data Description 58
5.3.2 Empirical Results and analysis 58
Chapter 6 Conclusions and Discussion 62
List of Tables
Table 1 Summary Statistics for Return on Stock indices 32
Table 2 Results of Various Unit Root Tests 34
Table 3 Results of the Nonlinear Unit Root Test – the KSS Test 35
Table 4 ARMA(p,q)-GARCH(1,1) Modeling and Results of the ARCH-LM Test for the Volatility of Return 36
Table 5 Results of Non-conditional Correlation Coefficient of Return 37
Table 6 Results of Correlation Coefficient of Volatility of Return 38
Table 7 Results of the Engle-Granger Test for Co-integration 40
Table 8 Results of the Enders-Siklos Test for Threshold Co-integration 41
Table 1 Summary Statistics for Return on Stock Indices 46
Table 2 Results of Various Unit Root Tests 49
Table 3 Results of the Nonlinear Unit Root Test – the KSS Test 49
Table 4 ARMA(p,q)-GARCH(1,1) Modeling and Results of the ARCH-LM Test for the Volatility of Return 50
Table 5 Relationships between the U.S. and China 51
Table 6 Results of Non-conditional Correlation Coefficient of Return 52
Table 7 Results of Correlation Coefficient of Volatility of Return 53
Table 8 Results of the Engle-Granger Test for Co-integration 56
Table 9 Results of the Enders-Siklos Test for Threshold Co-integration 57
Table 1 Results of the Logistic Smooth Transition Co-integration Test 61
List of Figures
Figure 1 Flow Chart 7
Figure 2 Logarithms of the Stock Price Index in 19 Stock Markets 33
Figure 3 The Volatility of Return in 19 Stock Markets 39
Figure 4 Logarithms of the Stock Price Index in 8 Stock Markets 48
Figure 5 The Volatility of Return in 8 Stock Markets 55
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