The research of dynamic Asian-Pacific financial market integration-an application of GARCH model

• Main Authors: Hsu Hsiao-tang, 徐孝堂
• Other Authors: Chen Si-kweng
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/73793641963953872029

碩士 === 國立臺灣大學 === 國際貿易學系 === 84 === I.Degree of Asian financial market integration 1.The interest rate differentials in Asian financial market are heteroskedastic,where Hong Kong,Taiwan,Phillipines,Indonesia and Thailand fit GARCH(1,1)-M model and Korea,Singapore and Malaysia fit ARCH(1)-M model. 2.Financial liberalization (for example:interest rate and credit control deregulation) decreases the variance of interest rate differential,promotes the international capital mobility and increases the degree of financial market integration. 3.The financial markets in Korea, Hong Kong,Singapore, Taiwan,Philippines and Malaysia are more integrated with Asian financial market by their liberalization from 70''s to 90''s; However,those in Indonesia and Thailand are not so. II.The interst rate spillover effect 1.Both Hong Kong and Singapore have significent interest rate spillover effects on other countries.Hong Kong can be seen as the leading index of Singapore,Taiwan,Malaysia,Indonesia and Thailand and Singapore the leading index of Hong Kong, Philippines and Indonesia. 2.Korea and Taiwan have their interest rate spillover effects mainly on southeastern Asian countries.Korea can be seen as the leading index of Philippines and Indonesia and Taiwan the leading index of Hong Kong,Philippines ,Malaysia and Thailand. 3.Philippines ,Malaysia,Indonesia and Thailand have little interest rate spillover effects on others. 4.Generally speaking,NIEs(Korea,Hong Kong,Singapore and Taiwan) have greater interest rate spillover effects on ASEAN (Philippines,Malaysia,Indonesia and Thailand) and the former can be seen as the leading index of the latter.