Dynamical Interdependence Analysis in the Stock Indices of the East Asian Economies

摘要

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. The searching of the dynamical interdependence is the first and important step of the financial crisis contagion study. The method to find the evidence of the dynamical interdependence between two time series bases on the multi-series nonlinear mutual predictability. If two time series has mutual predictability, it is an evidence of the dynamical interdependence between the two time series. This study examines the stock indices time series of the East Asian economies for evidence of dynamical interdependence between these indices. The data were collected from daily stock indices of Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippine, Singapore, Taiwan and Thailand. The results show that the many pairs of the stock indices of the East Asian economies have nonlinear mutual predictability. So dynamical interdependence is detectable in East Asian economies, which could be useful for the future study of the financial crisis contagion.