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Original scientific paper

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


Full text: english pdf 217 Kb

page 89-101

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Abstract

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.

Keywords

Asymmetric Threshold Co-integration, STECM-GARCH, Non-linear Adjustments Relationship

Hrčak ID:

85788

URI

https://hrcak.srce.hr/85788

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