Dynamic Transmission of Stock Markets in G7: Pre and Post- Global Financial Tsunami

[[abstract]]本文針對G7之股價指數為研究對象，探討美國次級房貸所引起之金融海嘯對全球股市彼此之間是否具有相互關連性。結果發現金融危機發生時，G7中對他國影響力最大的是美國及加拿大股市。其次，不論是金融風暴發生前後，G7各國股市在面對其他市場的衝擊時，均有相當程度的反應，故得知在市場資訊的取得上是非常迅速且有效率。美國次級房貸所引起金融海嘯，全球股市出現劇烈震盪，因而引發一連串的系統性風險進而產生信用風險，金融業紛紛擔心現金流量準備不足，導致銀行之間的拆借利率不斷攀升，其不僅僅衝擊到美國本身經濟成長，更對全球經濟產生負面的連鎖效應，代表著美國股市牽動影響國際股市是極為明顯的。[[abstract]]This paper examines G7 stock indices and explore whether different stock markets were correlated during the financial tsunami triggered by the US sub-prime mortgage crisis The results show that at the time of the financial crisis the US and the Canadian stock markets exhibited the greatest influence on other markets Meanwhile G7 stock markets react to the impact from other markets to a certain degree before and after the financial crisis This indicates that the acquisition of market information is swift and efficient As a result of the financial tsunami following the US sub-prime mortgage crisis the global stock markets tumbled and the system risks triggered led to a credit crunch The interbank rates kept soaring due to concerns over cash reserves in the financial industry This did not only affect the GDP growth in the US but also created negative chain reactions to the global economy It is obvious how the US stock market impacts the markets in the rest of the worl