姜永宏老师的论文在SSCI期刊发表

2017-02-27 浏览次数:10 评论 0

    2017年2月,姜永宏老师的论文“The Financial Crisis and Co-Movement of Global Stock Markets—A Case of Six Major Economies”发表在SSCI期刊《Sustainability》(February 2017,Vol.9,No. 2)上。

    该文摘要如下:This paper investigates the impact of recent financial crisis on six major stock markets during the three periods. To measure the impact of the crisis on different stock markets, we have applied a vector auto-regression(VAR)model and conducted Granger causality tests. The data used in this study, consists of time series of daily stock market indices at closing time, in terms of local currency units of the world’s major stock markets which were affected during the financial crisis, while the sample period was divided into several sub-periods. The main objectives of the research was to discover the degree of interdependence of the six stock markets and the trace out the Granger causality relationships and dynamic responses of one market to in another in innovation, and to make a comparison on the degree of the co-movements in three periods, namely, the pre-crisis period, crisis period, and post-crisis periods. The results suggest that the financial crisis has reinforced the interdependence relationship of global stock markets. However, general co-movements of global stock markets persist even after the crisis and still remained stronger in some economies.


[错误报告] [推荐] [收藏] [打印] [关闭] [返回顶部]

  • 验证码: