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A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises

Author

Listed:
  • Yu-Hau Hu

    (Department of International Business, Cheng Shiu University, Kaohsiung, Taiwan)

  • Shun-Jen Hsueh

    (Department of Financial Management, Cheng Shiu University, Kaohsiung, Taiwan.)

Abstract

This study employs the nonlinear Panel TAR (Threshold Autoregressive) model to examine the relationships among the U.S. and Asian stock markets. The aims are to distinguish the impacts of the U.S. stock market on the Asian stock markets, both in normal periods and financial crises periods, and develop an early-warning system for such markets. Our results show that during periods of financial crises the Asian stock markets are profoundly influenced by the U.S. stock market, and less affected by the returns of their own stock markets. In contrast, during non-financial crisis periods the performance of the Asian stock markets has a positive correlation with their own returns in the previous period, and a negative correlation with the U.S. stock market.

Suggested Citation

  • Yu-Hau Hu & Shun-Jen Hsueh, 2013. "A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 134-147, December.
    • Handle: RePEc:rjr:romjef:v::y:2013:i:4:p:134-147
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    Cited by:

    1. Dejan ŽIVKOV & Jovan NJEGIĆ & Ivan MILENKOVIĆ, 2018. "Interrelationship between DAX Index and Four Largest Eastern European Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 88-103, September.

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    More about this item

    Keywords

    panel TAR; nonlinear; early-warning system; financial crises; correlation;
    All these keywords.

    JEL classification:

    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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