CUHK electronic theses & dissertations collection

This study examines the characteristics of the collapse of the stock market and the foreign exchange market in some Asian countries during the 1997 Asian Financial Crisis. The interaction of these two markets during the crisis period is also studied. The method used to detect and date-stamp the timeline of the collapse is the recursive regression approach proposed in Phillips, Shi, and Yu(2015a,b). Tests are conducted on a time series of logged real stock indices and real exchange rate against the US dollar. The dataset includes information about Hong Kong, South Korea, Thailand, Malaysia, Singapore, and Taiwan. Great depreciation periods were detected in the foreign exchange markets of all these countries. And the negative bubbles in the stock markets are only detected in Thailand, South Korea, Malaysia, and Singapore due to different reasons. Moreover, the order of the collapse in these two markets is different for different countries. For example, bubbles appear earlier in the stock markets than the start of the great depreciation period in the foreign exchange markets in Thailand, South Korea, and Malaysia, whereas crashes emerge in the two markets at the same time in Singapore. The order of the collapses occurring in the two markets suggests the transmission direction. Therefore, we find that the transmission mechanism between these two markets is different for different countries and is also different from that during the non-crisis period, as suggested by previous works using the traditional Granger causality test.本文研究主要著眼於1997亞洲金融危機中部分亞洲國家股票市場和外匯市場在暴跌中所表現出的泡沫化特點，同時對這兩個市場變化的聯動關系進行了討論。本文采用Phillips, Shi和Yu提出的循環回歸方法對市場中是否存在泡沫以及泡沫形成和破裂的時間進行了判斷和分析。本文的研究對象為經過通貨膨脹調整的香港、韓國、泰國、馬來西亞、新加坡和臺灣的股票指數（取對數）以及這些地區的貨幣對美元的實際匯率。在所有上述經濟體中，對美元匯率都呈現正泡沫，這意味著短期內貨幣呈現較大程度貶值。然而代表股市暴跌的負泡沫只出現在了韓國、泰國、馬來西亞和新加坡，這些負泡沫亦產生於不同的原因。同時，不同國家股市和匯市的泡沫產生順序也不盡相同：在韓國、泰國和馬來西亞，股市先於匯市產生負泡沫；而在新加坡，股市和匯市的泡沫同步產生。由於泡沫產生的時間先後順序可以為兩個市場的變動提供因果關系的證據，所以我們認為在上述亞洲經濟體中，股市和匯市變動的因果關系也不相同。我們也針對上述經濟體中股市與匯市變動的因果關系提出了與之前已有研究的不同意見。Zhu, Jinhui.Thesis M.Phil. Chinese University of Hong Kong 2015.Includes bibliographical references (leaves 28-29).Abstracts also in Chinese.Title from PDF title page (viewed on 14, September, 2016).Detailed summary in vernacular field only