Dynamical interdependence analysis in the stock indices of the East Asian economies

Author

Hui Xiao-feng ; Li Zhe

Author_Institution

Sch. of Manage., Harbin Inst. of Technol., Harbin

fYear

2008

fDate

10-12 Sept. 2008

Firstpage

1134

Lastpage

1138

Abstract

The contagion of the financial crisis became more and more evident since 1990s. Numerous channels make the financial crisis contagion have notable nonlinear features. The traditional research are mostly based on the linear methods, which have limitation to investigate the nonlinear features. The dynamical interdependence analysis method in this paper is better than the linear methods to depict the nonlinear dynamical features of the financial crisis contagion.

Keywords

economic indicators; stock markets; time series; East Asian economies; Hong Kong; Indonesia; Japan; Korea; Malaysia; Philippines; Singapore; Taiwan; Thailand; dynamical interdependence analysis; financial crisis contagion study; nonlinear mutual predictability; stock indices time series; Conference management; Crisis management; Electrodes; Electroencephalography; Engineering management; Financial management; Reactive power; State-space methods; Technology management; Testing; contagion; dynamical interdependence; financial crisis; nonlinear mutual predictability;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2008. ICMSE 2008. 15th Annual Conference Proceedings., International Conference on

Conference_Location

Long Beach, CA

Print_ISBN

978-1-4244-2387-3

Electronic_ISBN

978-1-4244-2388-0

Type

conf

DOI

10.1109/ICMSE.2008.4669053

Filename

4669053