Title page for etd-0714108-002750


[Back to Results | New Search]

URN etd-0714108-002750
Author Hsiao-wen Huang
Author's Email Address No Public.
Statistics This thesis had been viewed 5570 times. Download 2478 times.
Department Economics
Year 2007
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Nonlinear Analysis of Stock Correlations among East Asian Countries, and The U.S., Japan, and German
Date of Defense 2008-06-18
Page Count 83
Keyword
  • smooth transition regression model
  • monthly correlation coefficient
  • nonlinear model
  • Abstract With gradually increasing interdependence of international political and economic environments, part of Asian countries' financial markets reform adopted progressive policies towards liberalization and internationalization. Therefore, the integration of international financial markets has attracted a bunch of scholars to investigate related topics of international stock market. Granger and (1993) documented that most of the economic variables have nonlinear characters. Chelley-Steeley (2004) uses smooth transition regression model to explore the financial market integration of regional and global markets among emerging and developed countries. Smooth transition regression model considered the possibility of nonlinear changes in regression parameters.
    This paper applies the smooth transition regression model to reinvestigate Chelley-Steeley’s (2004) study of nonlinear relationship of stock markets among some East Asian countries and the United States, Japan and Germany. The main difference of our model and Chelley-Steeley’ model is that we relax his constant market index correlation between two countries by allowing the autoregressive process on market index correlation. Empirical evidences of linear model, original non-linear model and our non-linear extension model show that our non-linear extension model outperformedthe other two models in terms of goodness of fit.
    Advisory Committee
  • Ching-nun Lee - chair
  • Yung-hsiang Ying - co-chair
  • Ming-Jang Weng - advisor
  • Files
  • etd-0714108-002750.pdf
  • indicate access worldwide
    Date of Submission 2008-07-14

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys