陕西科技大学学报（自然科学版）2012，Vol.30Issue(2)：126-133,8.
东亚股市一体化实证分析——基于2008年金融海啸
Empirical Analysis of Impact of 2008 Global Financial Tsunami on East Asia Stock Market Integration
余诚1
作者信息
- 1. 上海交通大学安泰经济与管理学院,上海200052
- 折叠
摘要
Abstract
This paper examines implication of 2008 global financial tsunami on the intpsjration of East Asia stock market by using co-integration test, VAR model, residual correlation, granger causality test and variance decomposition. We pay special attention to the interaction between US stock market and east Asia stock market before, during and after 2008 global financial tsunami. The empirical analysis reveals that 2008 global financial tsunami strengthened the integration of east Asia stock market. However, this turned out to be transient phenomenon. US stock market strongly influenced east Asia stock market before, during and after 2008 global financial tsunami.关键词
股票市场一体化/2008年全球金融海啸/VAR模型Key words
stock market integration/ 2008 global financial tsunami/ VAR model分类
经济学引用本文复制引用
余诚..东亚股市一体化实证分析——基于2008年金融海啸[J].陕西科技大学学报（自然科学版）,2012,30(2):126-133,8.
