A Study of the Short Term Reaction in Stock Market in Asia Countries

• Main Authors: Yuan-Chi Hsu, 許婉琦
• Other Authors: Jack J.W. Yang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/90392093090113403908

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 91 === As long as the fast growing Internet and fast information distributing, the international investment has become the current trend. Many international investors and investment institutions are interested in Asia stock markets, because of the economic growth in Asia countries. Thus, studies on Asia stock markets are valuable. Asia Financial Crisis, happened six years ago, caused the drop of exchange rate market and Stock all around the Asia. It influenced finance system deeply as well. Therefore, Asia Financial Crisis gets international attention. The phenomenon reveals the importance and uniqueness of the Asia financial markets. This study aims to investigate the short term reaction stock markets when the daily returns of stock indexes were extremely rising and falling among eight Asia countries from July 1992 to June 2002. We use OLS and GARCH (1,1) to analyze the short term reaction of Asian stock markets and then employ MSE and t-test to examine whether the two methods have significant differences. Based on the Asian Financial Crisis, we further divide the time sequence into two sub-periods, and then examine the differences of the short-term reactions before and after Asian Financial Crisis. Besides, according to the studies of Yang (1999）, Yen (2001), and Ahmad and Hussain (2001), there is a Chinese-New-Year effect exists in Asian stock markets; therefore, this study examines whether there exist the Chinese-New-Year effect within those Asia countries.