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Author: Khositkulporn Paramin
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659800658
Category :
Languages : en
Pages : 212
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Book Description
The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence provide an understanding of the dominant factors affecting stock market volatility in Thailand and measure the contagion effects of stock market volatility in Thailand on other South-East Asian stock markets. The study adopted quantitative methods in testing the research hypotheses. The multiple regression and GARCH models have been employed to examine the factors affecting Thailand stock market volatility. Also, the correlation coefficient and Granger causality tests were employed to hypothesis testing for contagion in South-East Asia. The study results indicate that the movements of major stock markets and political uncertainty have direct effects on stock market volatility, while the movements of oil prices have an indirect effect on firm performance. The contagion tests imply that the South-East Asian stock markets have a strong interrelationship in regards to market integration. However, the implementation of economic strategies and adaption of financial systems and regulation in each country can bring the stock market independent.
Author: Khositkulporn Paramin
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659800658
Category :
Languages : en
Pages : 212
Get Book Here
Book Description
The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence provide an understanding of the dominant factors affecting stock market volatility in Thailand and measure the contagion effects of stock market volatility in Thailand on other South-East Asian stock markets. The study adopted quantitative methods in testing the research hypotheses. The multiple regression and GARCH models have been employed to examine the factors affecting Thailand stock market volatility. Also, the correlation coefficient and Granger causality tests were employed to hypothesis testing for contagion in South-East Asia. The study results indicate that the movements of major stock markets and political uncertainty have direct effects on stock market volatility, while the movements of oil prices have an indirect effect on firm performance. The contagion tests imply that the South-East Asian stock markets have a strong interrelationship in regards to market integration. However, the implementation of economic strategies and adaption of financial systems and regulation in each country can bring the stock market independent.
Author: Najakorn Khajonchotpanya
Publisher:
ISBN:
Category : Financial crisis
Languages : en
Pages : 104
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Book Description
The thesis aims to develop a framework and a model of the fundamental-based contagion in the international stock market. Rather than studying the contagion effect directly across countries' stock markets as in past studies, this thesis assumes the distribution of stock market return is determined by a hidden process called the domestic fundamental, which is defned as the health of the economy, and study the contagion through the fundamentals. Under the framework proposed by this thesis, the mechanism of the fundamental-based contagion in the international stock market consists of two effects: the transmission of shocks and the shock amplification effects. The proposed model is estimated using Markov Chain Monte Carlo (MCMC). Then, results from the empirical study on the international stock market contagion between Japan - Thailand, Hong Kong- Thailand and the Us - Thailand reveals that financial linkage is the only transmision channel of shock to Thailand and that there is a significant evidence of the effect of shock amplication by the Thai fundamental. Thus, as the fnancial linkage gets larger, more external shocks would transmit to Thailand, and if the Thai fundamental is weak, it would suffer from the shocks more greatly. Lastly, this thesis finds that Thailand was affected by the fundamental of the US the most, and the effect of changes in the US fundamental on the Thai fundamental and stock market returns became more pronounced during the 2008 global fnancial crisis.
Author: Dexiang Mei
Publisher: Scientific Research Publishing, Inc. USA
ISBN: 1649970536
Category : Art
Languages : en
Pages : 131
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Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Author: Kristin Forbes
Publisher:
ISBN:
Category : Contagion (Social psychology)
Languages : en
Pages : 54
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Book Description
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.
Author: Dimitris Kenourgios
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper investigates volatility contagion across U.S. and European stock markets during the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC). Using a sample of international implied volatility indices on daily changes, I explore asymmetric conditional correlation dynamics across stable and crisis periods and across the different phases of both crises. Empirical evidence indicates the existence of contagion in cross-market volatilities. A different pattern of infection is observed across the phases, since the early phase of the GFC and the late period of escalation of the Euro crisis are the most contagious periods. This implies that the initial signal of the two crises has been differently recognized by implied volatility markets. The results provide important implications for the effectiveness of international portfolio diversification and volatility hedging during periods of negative shocks.
Author: Sang Hoon Kang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this study, we investigated volatility transmission effects be-tween the US and six Asian markets -- China, Hong Kong, Japan, Korea, Singapore, and Taiwan -- using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse response function (VIRF). Our empirical findings extend several recent reports. First, the empirical results of this study show that the US and Asian stock markets are interrelated by their volatility. Second, we found that the 2008 global financial crisis intensified volatility transmission across the US and Asian stock markets. Third, we found that one large shock, the bankruptcy of Lehman Brothers, resulted in an increase in expected conditional volatilities in the post-bankruptcy era. Moreover, the magnitude and the persistence of the volatility impulse responses differed across Asian stock markets due to differing investor reactions to shocks in each market.
Author: John Beirne
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism - contagion - during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Author: Richard Topol
Publisher:
ISBN:
Category : Commerce
Languages : en
Pages : 20
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Book Description
Author: Stijn Claessens
Publisher: Springer Science & Business Media
ISBN: 1475733143
Category : Business & Economics
Languages : en
Pages : 461
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Book Description
No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Author: Rakesh Shahani
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Book Description
The present study makes an attempt to investigate the dynamics of contagion and spillover of volatility amongst stock markets of five economies which include three developed nations; US , UK and Japan and two Asian emerging economies viz. India and China The period of study is eleven years; Jan 1, 2009-Dec 31, 2019 and the data is collected for daily closing prices of the indices. The study makes a distinction between contagion and spillover whereby a shock is considered spillover if its impact is seen with a lag of one period only and no more lags after the shock has occurred, while contagion is a residual transmission after accounting for all other transmissions including spillover(Masson, P. (1998) ; Dungey, M. and Martin, V.L. (2007)) The results of the study revealed that there was substantial contagion and information flows from one market to another , be it developed or emerging . Further although US markets continue to play a major role in deciding the direction of markets, the importance of other markets has increased over the years. Further, US market on its own now appears to look for clues from both developed and emerging markets including India and China. On the other hand , the stock market of UK follows the return movement and volatility mainly from US markets. The two emerging markets of Asia, India and China observe a lot of co-movement in returns with spillovers being linked to the developed markets which includes US as global market and Japan as regional market. The study also tested for pre-conditions of stationarity, autocorrelation and heteroscedasticity and the model was modified wherever necessary in order to make the results of the study robust.
