Who has more influence on Asian stock markets around the subprime mortgage crisis -- the US or China?

Chien-Chung Nieh, Chao-Hsiang Yang and Yu-Sheng Kao

Applied Economics Letters, 2012, vol. 19, issue 4, 329-335

Abstract: This article employed the Momentum Threshold Autoregressive (M-TAR) model to investigate the changes in the asymmetric co-integration relationship between the US and China's stock markets and Asian stock markets of Taiwan, Hong Kong, Singapore, Japan, Korea and India around the subprime mortgage crisis. The main empirical findings demonstrated that with the application of traditional symmetric co-integration tests, the subprime mortgage crisis did not reinforce the co-movement trends between the US and China's markets and Asian markets. However, with the application of the M-TAR model for the threshold co-integration test, there was significant increase in these asymmetric co-integration relationships between them during the period of the subprime mortgage crisis, and our empirical results show evidence that the linkage between the US and China's stock markets is low, and investors can somewhat diversify risks by investing in the United States and China simultaneously.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2011.577001 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:19:y:2012:i:4:p:329-335

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2011.577001

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().