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Dynamic interdependence and volatility transmission of Asian stock markets: evidence from the Asian crisis

In, Francis, Kim, Sangbae, Yoon, Jai Hyung and Viney, Christopher 2001, Dynamic interdependence and volatility transmission of Asian stock markets: evidence from the Asian crisis, International review of financial analysis, vol. 10, no. 1, Spring, pp. 87-96.

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Title Dynamic interdependence and volatility transmission of Asian stock markets: evidence from the Asian crisis
Author(s) In, Francis
Kim, Sangbae
Yoon, Jai Hyung
Viney, Christopher
Journal name International review of financial analysis
Volume number 10
Issue number 1
Season Spring
Start page 87
End page 96
Publisher Elsevier Science Inc.
Place of publication Amsterdam, Netherlands
Publication date 2001
ISSN 1057-5219
1873-8079
Keyword(s) Dynamic interdependence
Volatility transmission
Market integration
Multivariate VAR-EGARCH
Summary This paper examines dynamic interdependence, volatility transmission, and market integration across selected stock markets during the Asian financial crisis periods 1997 and 1998. Using a vector autoregressive–exponential generalized autoregressive conditional heteroskedasticity (VAR-EGARCH) model, it is found that reciprocal volatility transmission existed between Hong Kong and Korea, and unidirectional volatility transmission from Korea to Thailand. This suggests that Hong Kong played a significant role in volatility transmission to the other Asian markets. The data also indicate market integration in that each market reacted to both local news and news originating in the other markets, particularly adverse news.
Language eng
Field of Research 140210 International Economics and International Finance
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2001, Elsevier Science Inc.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30009486

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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