SPILLOVER EFFECT OF CHINESE EXPORT ON ASEAN-5 STOCK MARKETS USING MARKOV REGIME SHIFTING MODEL / MAGGIE FU MEI ZHI.
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TextPublication details: Kuala Lumpur : Asia Pacific University, 2019Description: 57 pages : illustrations ; 30 cmSubject(s): Export controls -- China | Finance -- Mathematical models | Financial risk -- Mathematical models | Capital market -- Mathematical modelsLOC classification: PG-24-0129Dissertation note: A project submitted in partial fulfillment of the requirements of Asia Pacific University of Technology and Innovation for the degree of B.Sc (Hons) in Actuarial Studies (UC3F1902ACS). Summary: China as the second largest economy supposes to produce spillover effect on the emerging market economies especially the ASEAN nations. The main objective of this paper is to study the spillover effect of the Chinese export on the ASEAN-5 stock markets. In this paper, multivariate Markov-Switching Intercept Autoregressive Heteroscedasticity (MSIAH) model is employed to analyze the linkage between Chinese export and the ASEAN-5 stock markets over the sample period of August 2000 to December 2018. The monthly data have been analyzed using EViews. Their correlation is also strong and positive. The findings report that the spillover effects of China export on ASEAN-5 stock markets is significant. There is positive relationship between Chine export and the stock markets for both regime. The conclusion can be made is China exports should be one of the important factors in determining the stock price in ASEAN-5 stock markets.
| Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode |
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Reference
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APU Library Reference Collection | Undergraduate Theses | PG-24-0129 (Browse shelf (Opens below)) | 1 | Not for loan (Restricted access) | 00017792 |
A project submitted in partial fulfillment of the requirements of Asia Pacific University of Technology and Innovation for the degree of B.Sc (Hons) in Actuarial Studies (UC3F1902ACS).
China as the second largest economy supposes to produce spillover effect on the emerging market economies especially the ASEAN nations. The main objective of this paper is to study the spillover effect of the Chinese export on the ASEAN-5 stock markets. In this paper, multivariate Markov-Switching Intercept Autoregressive Heteroscedasticity (MSIAH) model is employed to analyze the linkage between Chinese export and the ASEAN-5 stock markets over the sample period of August 2000 to December 2018. The monthly data have been analyzed using EViews. Their correlation is also strong and positive. The findings report that the spillover effects of China export on ASEAN-5 stock markets is significant. There is positive relationship between Chine export and the stock markets for both regime. The conclusion can be made is China exports should be one of the important factors in determining the stock price in ASEAN-5 stock markets.
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