Abstract
This study tries to find the dynamic stock market linkages among 12 Asian countries over the period January 3, 2000 to June 20, 2017. We employ ADCC-GARCH model to study the conditional correlations and Diebold and Yilmaz (2012) spillover index methodology to investigate return and volatility spillovers across the sample markets [1]. Based on ADCC results, we find that Singapore exhibits highest conditional correlation with other sample markets. Dynamic conditional correlations across the markets amplify during the crisis periods, pointing to financial contagion. The findings under Diebold-Yilmaz framework corroborate with the ADCC-GARCH model results as Singapore is found to be the dominant market based on both return and volatility spillovers. Inter-temporal pattern of spillovers reveals that cross-market linkages intensify during the turmoil periods. Our results have important implications for international investors and policymakers. The study contributes to financial integration literature for Asian markets.
Highlights
By 1980s it became an accepted fact that the prerequisites for growth of any economy are: an orientation towards world trade; liberalization of the domestic economy along with fiscal and monetary prudence
Chinese meltdown seems to impact the Asian markets owing to their regional proximity and economic and trade relations with China as is reflected in their heightened associations during this period
This paper aims to study dynamic stock market linkages among 12 Asian countries (Chinese Mainland, Hong Kong China, Taiwan China, Japan and South Korea, India, Pakistan, Indonesia, Malaysia, Philippines, Singapore, Thailand) by examining their conditional correlations and return and volatility spillovers over the period January 3, 2000 to June 30, 2017
Summary
By 1980s it became an accepted fact that the prerequisites for growth of any economy are: an orientation towards world trade; liberalization of the domestic economy along with fiscal and monetary prudence. Most of the Asian economies opened up on these believes and witnessed high growth rate of the economy on sustainable basisas mentioned in the East Asian miracle by the [2]. [3] questioned the sustainability of the economic boom in East Asia as in his opi-. Similar concern was raised by the Japanese government as they criticized the World Bank for overemphasizing macroeconomic stability. The Bank argued in response to the Japanese challenge that three factors have been key in the East Asian economic miracle. The third was an emphasis on exports as the “standard by which all economic activity would be judged”
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
