Spillovers among global equity markets: an approach of spillover index

• Main Authors: Pan,Meihsiang, 潘梅香
• Other Authors: Hsiao, Junglieh
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/17067797461785891982

碩士 === 國立臺北大學 === 國際企業研究所 === 100 === Because the financial systems of the stock market have integrated rapidly in recent years, information spreads more quickly than ever. This phenomenon will increase the already high degree of information transmission, causing the stock markets of different nations to become more interdependent and investors to be influenced through various channels. We want to examine how a particular stock market influences others stock markets, and vice versa. This study examined constant and dynamic spillover effects during empirical periods of major international financial events on various stock markets by using a spillover index to measure the degree of spillover among stock markets. In addition, by using the rolling windows method, we draw the dynamic spillover index to compare major international financial events. These research methods will be used to compare and analyze spillover effects.