Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2014.975514
Did the contagion effect exist? Evidence from Abu Dhabi, Jordan and America
Liang-Chun Ho
Chia-Hsing Huang
Sažetak
This article aims to test the contagion effect between the stock markets of Abu Dhabi, Jordan and America. The Lagrange multiplier (LM) principle for causality in variance test is used in this study. Four American stock indexes, Dow Jones Industrial Average, NASDAQ Composite, RUSSELL 2000, and PHLX Semiconductor Sector Index, are in this study. The testing results of the four major American stock
price indexes and the Jordan stock index (Amman) are significant. The testing results of the four American stock price indexes and the Abu Dhabi stock index (ADX) are also significant. This study finds that the variances of returns of four major American stock price indexes have the contagion effects on the variances of stock index returns
of Jordan and Abu Dhabi.
Ključne riječi
contagion effect; the stock market; Abu Dhabi; Jordan; America
Hrčak ID:
171357
URI
Datum izdavanja:
20.12.2014.
Posjeta: 797 *