題目：Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis
主講人：連大祥 教授 （美國德州大學圣安東尼奧分校）
時間：2016年10月16日上午10:00-12:00
地點：主樓418
主講人介紹：
連大祥，加州理工學院經濟學博士，美國德州大學圣安東尼奧分校商學院教授，前校長助理、東亞研究中心主任、美國劉氏基金項目負責人、劉尚儉杰出首席商學教授，在新加坡國立大學、南洋理工大學、清華大學、加拿大維多利亞大學、英國里丁大學及密蘇里大學堪薩斯城分校等擔任訪問教授或講座教授。在國際經濟、金融類頂級期刊Journal of Development Economics, Journal of Econometrics, Journal of Banking and Finance, Journal of International Economics主要期刊上發表論文270余篇，根據澳洲SIRCA的統計資料，以2001-2005在19個主要的國際金融期刊發表文章的加權數計算，連大祥教授排名世界第一。連大祥教授現擔任國際主流金融學期刊International Review of Financial Analysis，Research in International Business and Finance，Emerging Markets Trade and Finance副主編，同時擔任International Review of Economics and Finance等10余本國際知名金融類期刊編委。
內容介紹：
This research examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets between two financial crises: the Asian currency crisis and the U.S. subprime credit crisis. Our empirical results suggest that volatility is not always spilled over from the directly affected markets to surrounding markets in crisis periods. The East Asian markets, which directly suffered from the Asian currency crisis, receive volatility spillovers from other markets during the Asian currency crisis period. On the other hand, there are unidirectional volatility spillovers from the U.S. market to other markets during both crisis periods. This difference can be explained by a predetermined hierarchy in which volatility spillovers tend to start from the U.S. market regardless of the geographical origin of the crisis. Finally, the three financial hub markets, Japan, Hong Kong and Singapore, are the markets to which volatility is spilled over uni-directionally from several other countries during the subprime credit crisis period, but not during the Asian currency crisis period. We attribute this difference in volatility spillover pattern to crisis-specific (currency or credit crisis), market-specific (credit derivatives market participation and foreign currency reserves), and time-specific (more integrated global market) factors.
（承辦：應用經濟系，科研與學術交流中心）
