Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1456354
Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis
Mei-Ping Chen
; Department of Accounting Information, National Taichung University of Science and Technology, Taichung, Taiwan
Chien-Chiang Lee
; Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan
Yu-Hui Lin
; Department of Business Administration, Nan Kai University of Technology, Nantou, Taiwan
Wen-Yi Chen
; Department of Senior Citizen Service Management, National Taichung University of Science and Technology, Taichung, Taiwan
Sažetak
The purpose of this study is to examine the effect of the Severe
Acute Respiratory Syndrome (S.A.R.S.) epidemic on the long-run
relationship between China and four Asian stock markets. To this
end, we first employ the advanced smooth time-varying cointegration
model to investigate the existence of a time-varying cointegration
relation among these markets and then employ the difference-indifferences
approach to analyse whether or not the S.A.R.S. epidemic
impacted the long-run relation between China and these four markets
during the period 1998–2008, covering 5 years before and after the
S.A.R.S. outbreak. Our results support the existence of a time-varying
cointegration relation in the aggregate stock price indices, and that
the S.A.R.S. epidemic did weaken the long-run relationship between
China and the four markets. Therefore, stockholders and policy makers
should be concerned about the influence of catastrophic epidemic
diseases on the financial integration of stock market in Asia.
Ključne riječi
Epidemic diseases; financial integration; Severe Acute Respiratory Syndrome; difference-in-differences; smooth time-varying cointegration model
Hrčak ID:
206082
URI
Datum izdavanja:
3.12.2018.
Posjeta: 2.955 *