An Analysis of the Lead-lag Relationships among the Major International Stock Indices
| Autor: | Chih-lung Chen, 陳志隆 |
|---|---|
| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 This study analyzes the lead-lag relationships among the indices of major international stock markets. The stock indices of the Dow Jones, Nasdaq, SOX, S&P500, FTSE-100, CAC40, DAX, Nk225, Korea, STI, HIS, SEN, SZASHR, Shanghai, and TWSE are collected and used. The data covers the time period from January 1, 2003 to December 31, 2007. The Jarque-Bera test, the unit root test, the regional co-integration model, and the causality test are used to identify the volatility of each of the stock indices and factors influencing these indices. The empirical results from the Jarque-Bera test show that the distribution of stock indices is not normal. In addition, the null hypothesis under ADF unit root test is rejected. Based on the Johansen co-integration’s testing results, there are no long-term equilibrium relationships among four major US stock indices. In contrast, there exist long-term equilibrium relationships between in EU and Asian’s stock indices.. Finally, the causality test is conducted in this study to identify the lead-lag relationships among TWSE and fourteen other indices. The result shows that the S&P500 index plays the leading role to Nasdaq. Among the EU markets, the Frankfurt-Commerzbk Index plays the leading role. The India’s BSE and Taiwan’s TWSE are Nk225’s leading indices. This finding is different from other studies. NK225 is no longer the index that plays leading role in Asian region. The results from this study can provide valuable information to those who want to invest in Taiwan and/or global stock markets. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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