Title :
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
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;
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
DOI :
10.1109/ICMSE.2008.4669053
