Global contagion of market sentiment during the US subprime crisis |
| |
Affiliation: | 1. Department of Finance, Chung Yuan Christian University, 200, Chung Pei Road, Chung Li 320, Taiwan;2. School of Management, Fudan University, 670, Guo Shun Road, Shanghai 200, China;3. Department of Finance, National University of Kaohsiung, 700, Kaohsiung University Road, Kaohsiung 811, Taiwan;4. Department of Banking and Finance, Tamkang University, 151, Ying Zhuan Road, New Taipei City 251, Taiwan |
| |
Abstract: | This paper investigates how global market sentiment propagates among the markets and how the interdependency through the propagation changes during the course of the US subprime crisis. We adopt a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, and use a sample of eight global markets: Japan, Korea, Taiwan, Belgium, Germany, Netherlands, UK, and the Eurozone in our investigation. Our results identify that: (1) a long-run equilibrium relationship existed between market sentiment in the US and other major global markets during the subprime crisis period; (2) a global contagion of market sentiment occurred from the US market on September 15, 2008 to Japan, Korea, Belgium, Germany, Netherlands, and the Eurozone; and (3) the major global markets are all interrelated. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|