Title page for etd-1010110-163318


[Back to Results | New Search]

URN etd-1010110-163318
Author Hsiu-Jung Tsai
Author's Email Address No Public.
Statistics This thesis had been viewed 5573 times. Download 22 times.
Department Finance
Year 2010
Semester 1
Degree Ph.D.
Type of Document
Language English
Title An Analysis of the Contagion Effect, Systematic Risk and Downside
Risk in the International Stock Markets during the Subprime
Mortgage Crisis
Date of Defense 2010-09-22
Page Count 116
Keyword
  • downside risk
  • contagion effect
  • DCC
  • systematic risk
  • time-varying beta
  • Abstract This study tests whether contagion effects existed during the “subprime
    mortgage crisis” among the equity markets of the US, the EU, Asia and emerging
    markets. The time-varying correlation coefficients are estimated by the dynamic
    conditional correlation (DCC) of Engle (2002), using a multivariate GJR-GARCH
    with AR (1) model. The empirical findings show that the conditional correlation
    coefficients of stock returns between the U.S. and others countries were positive and
    that the contagion effect exists among stock markets.
    Financial markets displayed contagion effects, in that the global equity markets
    were confronted with elevated systematic risk at the same time. Therefore, this study
    further examines the role of systematic risk in the equity market of each country. I
    used the rolling formulae, the MV-DGP, and DCC-GARCH (1, 1) models to estimate
    the CAPM beta and downside betas. This study found higher systematic risk
    (downside systematic risk) in the stock markets of the United States, Germany, France
    and Brazil, which had beta values nearly above one, while the Chinese stock market
    had the lowest systemic risk and served as a hedge for investors and fund managers.
    Finally, the results demonstrate that DCC-HW beta can capture some downside
    linkages between the market portfolios and expected stock returns, while these
    linkages cannot likely be captured by the CAPM beta.
    Advisory Committee
  • So-de Shyu - chair
  • Cheng-Feng Lee - co-chair
  • Derek Chiang - co-chair
  • Tien Foo Sing - co-chair
  • Ming-Chi Chen - advisor
  • Files
  • etd-1010110-163318.pdf
  • indicate in-campus access in a year and off_campus not accessible
    Date of Submission 2010-10-10

    [Back to Results | New Search]


    Browse | Search All Available ETDs

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