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dc.contributor.authorHatemi-Jarabad, Abdulnasseren_US
dc.contributor.authorRoca, Eduardoen_US
dc.contributor.authorTang, Fangen_US
dc.contributor.editorAmedeo Amatoen_US
dc.date.accessioned2017-05-03T11:42:18Z
dc.date.available2017-05-03T11:42:18Z
dc.date.issued2005en_US
dc.date.modified2008-10-02
dc.identifier.issn0012981Xen_US
dc.identifier.urihttp://hdl.handle.net/10072/4530
dc.description.abstractConsidering 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.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_AU
dc.format.extent229895 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglishen_US
dc.language.isoen_AU
dc.publisherInstitute of International Economicsen_US
dc.publisher.placeItalyen_US
dc.relation.ispartofstudentpublicationNen_AU
dc.relation.ispartofpagefrom449en_US
dc.relation.ispartofpageto470en_US
dc.relation.ispartofissue4en_US
dc.relation.ispartofjournalInternational Economicsen_US
dc.relation.ispartofvolumeLVIIIen_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchcode340203en_US
dc.titleUS Equity Market Spill-Over and Contagion Effects on Selected Asian Markets Vis-A-Vis September 11en_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.rights.copyrightCopyright 2005 Camera di Commercio di Genova. The attached file is reproduced here in accordance with the copyright policy of the publisher.en_AU
gro.date.issued2005
gro.hasfulltextFull Text


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