Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model

Hsiang-Hsi Liu

Economic Modelling, 2012, vol. 29, issue 6, 2724-2733

Abstract: The purpose of this study is to analyze the interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes by applying a trivariate FIEC-FIGARCH model. The empirical results confirm that the FIEC-FIGARCH model can be used to capture long memory behavior and allow us to conclude that mean and volatility spillover, and long memory effects are found in these three markets. Furthermore, we found that deviations in the long-run equilibrium for Japanese TFT-LCD panel industry adjust back very slowly in comparison to the other two countries; and that, in terms of conditional covariance, dynamic interrelationships exist among the TFT-LCD panel industry stock market indices of these three countries.

Keywords: Long memory; FIEC-FIGARCH model; Spillover effects; Fractional cointegration (search for similar items in EconPapers)
JEL-codes: G10 G15 G17 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:6:p:2724-2733

DOI: 10.1016/j.econmod.2012.08.014

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