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

Yu-Hau Hu () and Shun-Jen Hsueh ()
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Yu-Hau Hu: Department of International Business, Cheng Shiu University, Kaohsiung, Taiwan
Shun-Jen Hsueh: Department of Financial Management, Cheng Shiu University, Kaohsiung, Taiwan.

Journal for Economic Forecasting, 2013, issue 4, 134-147

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.

Keywords: panel TAR; nonlinear; early-warning system; financial crises; correlation (search for similar items in EconPapers)
JEL-codes: F2 F3 G1 (search for similar items in EconPapers)
Date: 2013
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