Author: Jae-Kwang Hwang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper examines the stock market linkages within the Asia-Pacific region and between Asian markets and the US market from January 2000 to June 2010 employing dynamic conditional correlation GARCH model. Our results show that there exist very high correlations among the stock markets during the 2008 financial crisis. Therefore, consistent with the finding in literature, there are no diversification benefits during the financial crisis. However, our results show that there are still substantial opportunities for global investors to improve the risk-return performance between China and other markets during the sample period. In addition, we find evidence that the US market significantly affects the stock markets in Asia-Pacific region. Using T-GARCH model, there is a strong evidence of an asymmetric effect on conditional variance except stock markets in China and Malaysia.
Author: Thomas Chinan Chiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
Get Book Here
Book Description
This paper reexamines Asian stock market contagion by applying a dynamic multivariate GARCH model to daily stock-return data in nine Asian countries and the United States during the period from 1996 to 2003. The empirical results find supportive evidence of a contagion effect. By analyzing the correlation-coefficient series, this paper identifies two phases of the Asian crisis. The first phase shows an increase in correlation (contagion) and the second phase shows continued high correlation (herding). Statistical analysis of the correlation coefficients shows shifts in the level as well as in the variance of the correlation coefficients during the crisis period, casting some doubt on the benefit of international portfolio diversification. This study finds that international rating agents play significant role in shaping the structure of dynamic correlations in the Asian markets.
Author: Lin Tan
Publisher:
ISBN:
Category : China
Languages : en
Pages : 138
Get Book Here
Book Description
Author: Saif Siddiqui
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
Get Book Here
Book Description
In the background of globalization, economic assimilation and integration among countries and their financial markets is evident. The interdependency among major world stock markets has also increased. This paper examines the relationships between selected Asian and US stock markets. It covers the period, 19/10/1999 to 25/04/2008, using daily closing data of twelve stock markets to investigate. The research methodology employed includes testing for stationarity, implementation of the Granger Causality test and Johansen Cointegration test. Stock markets under study are found to be integrated. The degree of correlation between all the markets, but Japan, varies between moderate to high. The findings also prove that stock markets returns are not normally distributed. The time series understudy also show non-stationary patterns. Furthermore, it provided that no stock market is playing a very dominant role in influencing other markets. The US influence is not as noticeable as in the earlier researches. Comparing this study with previous ones, It can be said that stock market integration in relation with US markets is time varying. The results of the present paper are useful for investors in management of their existing international portfolios.
Author: Gagari Chakrabarti
Publisher: Springer Science & Business Media
ISBN: 813220462X
Category : Business & Economics
Languages : en
Pages : 69
Get Book Here
Book Description
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.
Author:
Publisher:
ISBN:
Category : Electronic books
Languages : en
Pages : 19
Get Book Here
Book Description
In recent years the Chinese government has instituted a series of reforms to restructure and open the Chinese financial system. This paper studies the dynamic correlations and sensitivities between Chinese mainland stock market and five major stock markets with the multivariate t-DCC-GARCH model. We also consider a Normal-DCC model and results show that t-DCC improves slightly the results. The analysis of reforms' effects on dynamic correlations and sensitivities prove that the Chinese mainland market is more closely tied to Asian stock markets over time, followed by the United States, and with relatively lower correlations with Europe and the United Kingdom. We highlight that the implementation of reforms changes theirs correlations and sensitivities over time. Since the reforms, the correlation between China and international stock markets has been reinforced.
Author: Wilson H. S. Tong
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 160
Get Book Here
Book Description
Author: Sally Carolyn Carney
Publisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 156
Get Book Here
Book Description
Author: Suk-Joong Kim
Publisher: Elsevier
ISBN: 0762314710
Category : Business & Economics
Languages : en
Pages : 537
Get Book Here
Book Description
This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.
Author: Stuart Hyde
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle and Sheppard (2006). We find significant variation in correlation between markets through time. Stocks exhibit asymmetries in conditional correlations in addition to conditional volatility. Yet asymmetry is less apparent in less integrated markets. The Asian crisis acts as a structural break, with correlations increasing markedly between crisis countries during this period though the bear market in the early 2000s is a more significant event for correlations with developed markets. Our findings also provide further evidence consistent with increasing global market integration. The documented asymmetries and correlation dynamics have important implications for international portfolio diversification and asset allocation.
