Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets PDF Download
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Author: Tao Sun
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451873139
Category :
Languages : en
Pages : 42
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Book Description
This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK's role as an international financial center. Moreover, the impact of the volatility from the United States on China's stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK.
Author: Tao Sun
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451873139
Category :
Languages : en
Pages : 42
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Book Description
This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK's role as an international financial center. Moreover, the impact of the volatility from the United States on China's stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK.
Author: Tao Sun
Publisher:
ISBN:
Category : Electronic books
Languages : en
Pages :
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Book Description
Author: Li Yang
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
This paper examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets between two financial crises: the Asian currency crisis and the U.S. subprime credit crisis. Our empirical results suggest that volatility is not always spilled over from directly affected markets to surrounding markets in crisis periods. The East Asian markets who directly suffered from the Asian currency crisis are the ones to which volatility is spilled over from other markets during the Asian currency crisis period, whereas unidirectional volatility spillovers from the U.S. market to other markets are observed during both crisis periods. This difference can be explained by a predetermined hierarchy in which volatility spillovers tend to start from the U.S. market regardless of the geographical origin of the crisis. Furthermore, our results reveal that the markets in three major Asian financial hubs, i.e., Japan, Hong Kong and Singapore, are the markets to which volatility is spilled over unidirectionally from several other countries during the subprime credit crisis period, whereas it is not true during the Asian currency crisis period. We attribute this difference to crisis-specific (currency or credit crisis), market-specific (credit derivatives market participation and foreign currency reserves), and time-specific (more integrated global market) factor.
Author: Dimitrios I. Dimitriou
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Purpose - The purpose of this paper is to investigate empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Design/methodology/approach - In this study, contagion channels of the 2007 US subprime financial crisis are investigated empirically by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Findings - There is empirical evidence of contagion in all markets with the US market through various channels, which have not been discussed in other related studies. Specifically, the empirical results suggest that Japanese and EMU markets have been directly affected from the crisis. However, while China's equity market has been mainly unaffected by the US subprime crisis, has been affected indirectly through Japan. Moreover, the Japanese equity market exhibits positive and significant spillovers effects with China and EMU, revealing an indirect volatility transmission channel of US subprime crisis.Research limitations/implications - Further research could consider the asymmetric effects on conditional covariance through, for example, asymmetric generalized dynamic conditional correlation models. All under examination markets show evidence of contagion through different channels.Practical implications - Despite the financial advices for diversification, since the increasing globalization and stock market interdependence throughout the last 15 years, through the US subprime crisis equity investors had fewer opportunities for diversification. From policy makers' perspective, they should carefully examine and uncover possible decoupling strategies to insulate these economies from contagion in future crises.Social implications - This study provides useful information to international organizations, such as World Bank and World Trade Organization (WTO) in order to protect markets from contagion during future crises.Originality/value - A novel finding of this paper is the indirect channel of contagion (i.e. Japanese market) for Chinese market. This indirect channel may help explain why China's equity market performed badly in 2008 after the subprime crisis in the USA emerged.
Author: Leo F. Goodstadt
Publisher: Hong Kong University Press
ISBN: 9888083252
Category : Business & Economics
Languages : en
Pages : 219
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Book Description
The 2007-2009 global financial crisis was predictable and avoidable, but American and British regulators chose not to intervene. They failed to implement their own policies because of an Anglo-American "regulatory culture" of non-intervention that dominated financial regulation worldwide. Hong Kong--the international financial center of an increasingly prosperous China--defied world opinion and made stability its priority. This policy ensured Hong Kong's robust performance during the last 15 years, and it made possible Hong Kong's impressive contributions to financing China's economic take-off and to the modernization of its financial institutions.Reluctant Regulatorsis a scathing indictment of regulatory inertia in the West. It provides original insights into the causes of financial crises and pays special attention to China's attempts at reform and Hong Kong's place in China's financial modernization. Leo F. Goodstadtwas chief policy adviser to the Hong Kong Government as head of its Central Policy Unit (1989-1997) and has had an extensive consultancy practice in Asian banking. He has written widely on the global financial crisis and on China's economic development.
Author: L. Talani
Publisher: Springer
ISBN: 0230281532
Category : Business & Economics
Languages : en
Pages : 208
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Book Description
This book provides a comprehensive interdisciplinary account of the events leading to the financial crisis, its institutional causes and consequences, its economic characteristics and its socio-political implications. It offers an in-depth assessment of the future of global financial stability.
Author: Kui-wai Li
Publisher: World Scientific Publishing Company
ISBN: 9814434574
Category : Business & Economics
Languages : en
Pages : 802
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Book Description
Hong Kong has been one of the fastest growing East Asian economies since the end of the Second World War. The adoption and practice of economic freedom have been major pillars in its economic success. Indeed, the experience of Hong Kong has served as a reference for other emerging economies in the region. The scope of the book elaborates the context and ingredients of economic freedom that have brought success and prosperity to Hong Kong. With sovereignty reversion to China in 1997, it is even more relevant to see how economic freedom is shaping and adapting to the new environment.There exist a number of economic indices based on economic freedom. Hong Kong has been ranked as the freest economy in the world for a number of consecutive years. While the economic freedom indices compare the performance of a large number of word economies, there is a lack of economic literature that studies the absolute level of economic freedom of a single economy. This book boldly serves the purpose of elaborating on the absolute performance of economic freedom in the world's freest economy. It is, therefore, the first of its kind and unique in its field. Numerous areas of studies related to economic freedom are examined, studied and elaborated so that readers can have a full and comprehensive understanding of the content of economic freedom in Hong Kong.
Author: Eko Ruddy Cahyadi
Publisher: European Alliance for Innovation
ISBN: 1631902997
Category : Social Science
Languages : en
Pages : 1335
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Book Description
This book is the proceeding of the International Conference on Sustainable Management and Innovation (ICoSMI 2020) that was successfully held on 14-16 September 2020 using an online platform. The conference was mainly organized by the Department of Management IPB University in collaboration with Leibniz University of Hannover, Universiti Putera Malaysia, Kasetsart University, Tun Hussein Onn University of Malaysia, Tamil Nadu Teachers Education University, Deakin University, University of Adelaide, Forum Manajemen Indonesia, FE Pakuan University, FE Gajah Mada University FEB University of North Sumatra and FEB Andalas University, SBM Bandung Institute of Technology, FEB Lampung University, Perbanas Institute Jakarta, FE Bina Nusantara University, and SBE Prasetiya Mulya University. This conference has brought academic researchers, business practitioners as well as graduate students together to exchange their experiences and research results about most aspects of innovation and sustainability, and discuss the practical challenges encountered and the solutions adopted. About 402 delegates across the world including Indonesia, Malaysia, Thailand, Spain, China, and India have attended and presented their research works in the conference. The proceeding consists of 80 high-quality papers that were selected from more than 250 submitted papers. The papers are classified into 12 themes, namely Finance for Sustainability, Industry 4.0 and Future Business Sustainability, Policy and Strategy for Sustainable Innovation and Supply Chain, Smart Agriculture Management for Environmental Sustainability, and Sustainable Human Resources. Finally, we would like to express the greatest thanks to all colleagues in the steering and organizing committee for their cooperation in administering and arranging the conference as well as reviewers for their academic works and commitment to reviewing papers.
Author: Sabur Mollah
Publisher: Springer
ISBN: 1137367547
Category : Business & Economics
Languages : en
Pages : 172
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Book Description
Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
Author: Kerry Brown
Publisher: Elsevier
ISBN: 1780632789
Category : Political Science
Languages : en
Pages : 269
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Book Description
This book presents eight separate essays and provides the reader with a unique perspective and objective judgement of where China will stand by the end of the current decade. It is suitable reading for foreign policy practitioners, academics and anyone interested in one of the world's fastest-developing countries. The eight essays cover the following topics: China's internal politics; China's military; China's economy; China's international image and its international relations; China's legal development and China's western regional development plans. China 2020 assesses where these issues stand today and highlights their likely trajectory over the following decade. A unique feature of this book is that it looks in particular at the policy impact, both for China and other countries, and all the most and least likely outcomes for China's development in these areas. - Concentrates on the practical policy impacts and the expected outcomes each of the above areas will have - Deals with issues like the opening up of China's undeveloped western area. A subject with little coverage in other mainstream books on China - Takes a short to mid-term view of China's development, so that the period is highly definable and the contours of what might happen are already clear
