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  • US Equity Market Spill-Over and Contagion Effects on Selected Asian Markets Vis-A-Vis September 11

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    Author(s)
    Hatemi-Jarabad, Abdulnasser
    Roca, Eduardo
    Tang, Fang
    Griffith University Author(s)
    Roca, Eduardo D.
    Tang, Fang
    Hatemi-Jarabad, Abdulnasser
    Year published
    2005
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    Abstract
    Considering the global dominarnce of the US equity market, it is expected that the impact of September 11 on the US market would spill-over to other markets. Since this terrible event had created a global climate of fear and uncertainty, it is possible that the US spill-over effect could have been driven not only by fundamental factors but also by non-fundamental ones. Thus, contagion could have played a dominant role in transmitting the effect of September 11 from the US to other markets. In this paper, we verify whether indeed this has happened. Based on leveraged bootstrap causality tests, we examine the causal effects ...
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    Considering the global dominarnce of the US equity market, it is expected that the impact of September 11 on the US market would spill-over to other markets. Since this terrible event had created a global climate of fear and uncertainty, it is possible that the US spill-over effect could have been driven not only by fundamental factors but also by non-fundamental ones. Thus, contagion could have played a dominant role in transmitting the effect of September 11 from the US to other markets. In this paper, we verify whether indeed this has happened. Based on leveraged bootstrap causality tests, we examine the causal effects of the US on Indonesia, China, Japan, Taiwan and Singapore in relation to September 11. We found that the causal effects of the US on Japan and Singapore intensified as a result of September 11; however, we did not find these to be associated with contagion effects. It appears that the September 11 impact on the US market was not transmitted to the other Asian markets as the US influence on these markets either remained the same or even diminished.
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    Journal Title
    International Economics
    Volume
    LVIII
    Issue
    4
    Copyright Statement
    © 2005 Camera di Commercio di Genova. The attached file is reproduced here in accordance with the copyright policy of the publisher.
    Subject
    Economic Theory
    Applied Economics
    Econometrics
    Publication URI
    http://hdl.handle.net/10072/4530
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    • Journal articles

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