The Connection of Stock Markets on the SARS Hurt Area

Wu-Shong Jwo ； Hsien-Yi Chen ； Jun-Xian Yeh

《Asian Journal of Management and Humanity Sciences》 1卷2期 (2006/07) Pp. 236-251

https://doi.org/10.6413/AJMHS.200607.0236

並列摘要

In 2003, the infectious disease known as Severe Acute Respiratory Syndrome (SARS) struck several countries of Southeast Asia and resulted in social and economic disruption, especially in Taiwan, China, Hong Kong, and Singapore. The first case of SARS was found in Guangdong Province, Canton after a Cantonese used the meat of a civet, a small cat-like animal, in a meal. Subsequently, the SARS virus spread from Canton Province to Shanghai, and then to the whole of China. Later, SARS reached Hong Kong and then spread to Singapore and Taiwan. This study intends to apply time series methods, such as Grangers' causality test, Sam's impulse response analysis and forecast error variance decomposition, to analyze the dynamic movement of composite indexes of five stock markets in the SARS infected areas. The results show that, during the SARS period, the paths of the movement of stock market indices on the countries in the infected areas look like the paths of SARS transmission and circulation.

並列關鍵字

SARS ； causality test ； impulse response ； variance decomposition ； white noise ； unit root test