East Asian Stock Markets Research Articles

ASIAN STOCK MARKET FINANCIAL CATASTROPHE: PROPORTIONAL ANALYSIS OF SOUTH-EAST ASIAN STOCK MARKETS

This study investigates financial crisis of 2007 in Asian stock markets. This study is aimed at studying the impact of this crisis on East and South Asian Stock Markets. The outcomes of this research would provide a better understanding of the stock market crashes or financial crisis and the possible implications of these scenarios. The study also adds valuable contribution to the existing literature on financial market crashes and may encourage further researches. The years on which the research is focused on are from 2003 to 2012 while the indexes are of 52 different countries on Panel analysis basis. It can be said in the end that the financial crisis does influence the economy of any country. Financial crisis in the global scenario impact the stock markets and other financial institutions all over the world. East Asian market was more resilient then the South Asian market in the financial crisis in the late 2000s. The governments of South Asian countries should implement the strategies and policies focused on the policies of East Asian countries to overcome the financial crisis in future..

Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

A Study on Interdependency in East Asian Stock Markets

A Study on Interdependency in East Asian Stock Markets

The Volatility Spillovers and Volatility Impulse Response - Centered on U.S. and East Asian Stock Markets -

The Volatility Spillovers and Volatility Impulse Response - Centered on U.S. and East Asian Stock Markets -

Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis

This paper examines the interdependence and causality relationship between oil and East Asian stock returns from 1992 to 2015 and provides a fresh perspective on portfolio diversification benefits using wavelet coherence analysis. We find that oil prices and the East Asian stock market move in phase, and oil prices lead to stock returns in the long run. We provide evidence that oil can reduce the risk in the short run, and the degree of risk reduction of oil-stock portfolios decreases over the long term. This study provides information that can guide investors in diversification efforts while investing in oil and East Asian stock markets.

Integration of the South and East Asian Stock Markets: How Long to Go?

This paper reappraises the global and regional integration for 6 Southeast Asian stock markets. A time‐varying analysis based on Barari (2004) suggests that Malaysia, South Korea and Thailand have shown significant movement towards international financial integration.The estimates based on TARCH model imply significant support for returns and volatility spillover effects from the World as well as regional markets to all the stock markets except Pakistan. The stock market liberalization measures such as First Country Fund, First Depository Receipt, and First Cross Listing appeared to have induced more positive return spillover effects from the World to India, Indonesia and South Korea. These results have policy implication for the international portfolio investors in sense that portfolio diversification advantages are rather less in Malaysia, South Korea compared to India and Pakistan which still provide higher returns through portfolio diversification.

Crisis, Contagion, and East Asian Stock Markets

Following the 1997 financial crisis in East Asia, the issue of contagion has resurfaced. Contagion has most often been associated with high frequency events; hence, it has been measured on stock market returns, interest rates, the exchange rate, or linear combinations of them. This paper tests for evidence of contagion between selected East Asian stock markets, thereby exploring the importance of the linkages between stock markets as a transmission channel during the crisis.