An Empirical Analysis of Nonlinear Dynamics Relationship between the United States and Taiwan Stock Markets

Yen-Hsien Lee
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Yen-Hsien Lee: Chung Yuan Christian University, Chung Li, Taiwan

Zagreb International Review of Economics and Business, 2012, vol. 15, issue 1, 89-101

Abstract: This paper investigates the co-integration and causal relationships by threshold model and non-linear adjustments relationship by STAR model between the U.S. and Taiwan stock market. The fi ndings indicate that there exists an asymmetric threshold co-integration relationship between the U.S. and Taiwan stock markets. Moreover, this paper further fi nds that this is signifi cant evidence of non-linearity in the TAIEX return, and the nonlinear dynamic adjustments of the S&P 500 and TAIEX prices follow the logistic transition function. The contribution of this study demonstrates that the LSTECM-GARCH is well suited to describing the short-run and long-run dynamic relationship between the U.S. and Taiwan stock markets.

Keywords: Asymmetric Threshold Co-integration; STECM-GARCH; Non-linear Adjustments Relationship (search for similar items in EconPapers)
JEL-codes: C1 G5 (search for similar items in EconPapers)
Date: 2012
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