Did the contagion effect exist? Evidence from Abu Dhabi, Jordan and America
Bibliographic Data
| ID | 15067486 |
|---|---|
| Authors | Liang-Chun Ho, Liang‐Chun Ho (0000-0002-8367-374X, Hsiuping University of Science and Technology, corresponding author), Chia-Hsing Huang (0000-0002-6278-247X), Chia‐Hsing Huang (0000-0002-7916-2090, International Graduate School of English) |
| Year | 2014 |
| Volume | 27 |
| Issue | 1 |
| Pages | 740-754 |
| Publication date | 2014-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2014.975514 |
| OpenAlex | W2086640477 |
| Language | EN |
| References cited | 14 |
This article aims to test the contagion effect between the stock markets of Abu Dhabi, Jordan and America. The Lagrange multiplier (LM) principle for causality in variance test is used in this study. Four American stock indexes, Dow Jones Industrial Average, NASDAQ Composite, RUSSELL 2000, and PHLX Semiconductor Sector Index, are in this study. The testing results of the four major American stock price indexes and the Jordan stock index (Amman) are significant. The testing results of the four American stock price indexes and the Abu Dhabi stock index (ADX) are also significant. This study finds that the variances of returns of four major American stock price indexes have the contagion effects on the variances of stock index returns of Jordan and Abu Dhabi
Abu dhabi · Composite index · Composite indicator · Econometrics · Economics · Financial economics · Geography · Granger causality · Stock market · Stock market index · Stock price · Financial Markets and Investment Strategies · Islamic Finance and Banking Studies · Market Dynamics and Volatility
| Highly cited | No |
|---|