A Study of the Impact of Subprime Mortgage Crisis on the Financial Stock Indices

• Main Authors: Chen-Chen Ko, 柯禎禎
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/83208470376081675150

碩士 === 雲林科技大學 === 財務金融系碩士班 === 99 === This study is to examine the impact of subprime mortgage crisis on the financial stock indices, including U.S. NYSE, U.K. FTSE, Germany DAX, Taiwan and Shenzhen China. This study uses the measurement methods include the ADF unit root test, Johansen cointegration test, Granger causality test, Impulse Response analysis and Forecast Error Variance Decomposition. According to the empirical results, five financial stock index daily returns all perform stationary. Johansen cointegration test indicates that the long-term steady and balanced relationships among those financial stock indices are not changed by the subprime mortgage crisis. Granger causality test suggests that U.S. NYSE financial stock index causes the vibration of the other stock indices. The impulse response analysis demonstrates that the returns converge quickly and the market is efficient. The Forecast Error Variance Decomposition results show that market itself is the major explanatory power of the returns of the financial stock index.