Izvorni znanstveni članak
An Empirical Analysis of Nonlinear Dynamics Relationship between the United States and Taiwan Stock Markets
Yen-Hsien Lee
; Chung Yuan Christian University, Chung Li, Taiwan
Sažetak
This paper investigates the co-integration and causal relationships by threshold model and
non-linear adjustments relationship by STAR model between the U.S. and Taiwan stock
market. The fi ndings indicate that there exists an asymmetric threshold co-integration relationship
between the U.S. and Taiwan stock markets. Moreover, this paper further fi nds
that this is signifi cant evidence of non-linearity in the TAIEX return, and the nonlinear
dynamic adjustments of the S&P 500 and TAIEX prices follow the logistic transition function.
The contribution of this study demonstrates that the LSTECM-GARCH is well suited
to describing the short-run and long-run dynamic relationship between the U.S. and Taiwan
stock markets.
Ključne riječi
Asymmetric Threshold Co-integration; STECM-GARCH; Non-linear Adjustments Relationship
Hrčak ID:
85788
URI
Datum izdavanja:
1.5.2012.
Posjeta: 1.344 *