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

journal contribution
posted on 2001-01-01, 00:00 authored by F In, S Kim, J Yoon, Christopher Viney
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.

History

Journal

International review of financial analysis

Volume

10

Issue

1

Season

Spring

Pagination

87 - 96

Publisher

Elsevier Science Inc.

Location

Amsterdam, Netherlands

ISSN

1057-5219

eISSN

1873-8079

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2001, Elsevier Science Inc.

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