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- W2600544080 abstract "Objective: These studies will 1. Examine whether contagion effects exist on composite index of global stocks and 2. Identify and explain the movement of composite stock indexes which have a dominant influence on other countries. 3. Show which markets get the most impact of the turmoil in other countries. Methodology: This study uses daily return composite stock indexes including DJIA, JSX, KLCI, SET, PSEI, BSE, HSI, STI, KOSPI, SCI, NIKKEI 225, FTSE100, DAX 30, CAC40 and IBEX 35 which were taken from January 2007 to October 2015. This study uses a Structural Vector Auto Regression (SVAR) method and focuses on Impulse Response Function (IRF) and Error Variance Decomposition (EVD). Findings: The results of the study show that 1. Contagion effect exists on composite index of global stocks. 2. The most influential indexes on others are DJIA, KLCI, FTSE, SCI. 3. In contrast, stock markets that have been impacted most are JSX (7), PSEI (6), HIS (6), KOSPI (5), NIKKEI (5). Application: The SVAR analysis found a big picture that markets in Asian Region are more dependent on those in American and Europe. India is the special case. It tends to affect the other Asian markets." @default.
- W2600544080 created "2017-04-07" @default.
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- W2600544080 date "2016-12-30" @default.
- W2600544080 modified "2023-09-28" @default.
- W2600544080 title "Crisis Transfer Analysis among Fifteen Major World Stock Markets" @default.
- W2600544080 doi "https://doi.org/10.17485/ijst/2016/v9is1/109628" @default.
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