Transmission Effects in Financial Crises Periods

• Main Authors: Kae-Yih Tzeng, 曾凱逸
• Other Authors: Joseph C.P. Shieh
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/26121129071156526075

博士 === 國立臺灣科技大學 === 財務金融研究所 === 104 === This dissertation investigates two transmission mechanisms during financial crises. The first study is the transmission within homogeneous markets, from U.S. stock markets to emerging stock markets, whilst the second study is a study on transmission within heterogeneous markets, from U.S. stock markets to commodity markets during two financial crises - the U.S. Subprime Mortgage Crisis and the European Sovereign Debt Crisis. The first study finds significant influence of U.S. stock markets on emerging countries during the early stages of crises. However, such strong relationships diminish after the Lehman Brothers' bankruptcy. Local currencies yield positive relationships with their local stock markets, but this relationship loosens during the later stages of crises. Before the bankruptcy of the Lehman Brothers, emerging markets have already been influenced by the impact of the CDS. This is evident from the linkage between Subprime Mortgage Crisis and the European Sovereign Debt Crisis. After the restructuring of the Greek debt, decoupling effects with the Dow Jones and CDS are rather obvious. Our second study finds significant segmentation characteristics of commodities. However, segmentation characteristics begin to disappear after the collapse of the Lehman Brothers. Results from regression, VAR (Vector Autoregression) and Granger causality all show that transmission effects to be rather obvious. Volatility spillover effect plays a major role in transmission mechanism. After the collapse of the Lehman Brothers, the commodities decouple their negative relationships with the VIX, and a coupling relationship is formed with the CDS. After the Greek debt restructuring period, commodities loosen their relationships with the Dow Jones, VIX and CDS. In addition, the transmission is faster for homogeneous markets than heterogeneous markets.