TY - JOUR
T1 - Dynamic interdependence and volatility transmission of Asian stock markets
T2 - Evidence from the Asian crisis
AU - In, Francis
AU - Kim, Sangbae
AU - Yoon, Jai Hyung
AU - Viney, Christopher
PY - 2001/3
Y1 - 2001/3
N2 - 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.
AB - 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.
KW - Dynamic interdependence
KW - G12
KW - G15
KW - Market integration
KW - Multivariate VAR-EGARCH
KW - Volatility transmission
UR - http://www.scopus.com/inward/record.url?scp=0010980736&partnerID=8YFLogxK
U2 - 10.1016/S1057-5219(00)00045-4
DO - 10.1016/S1057-5219(00)00045-4
M3 - Article
AN - SCOPUS:0010980736
SN - 1057-5219
VL - 10
SP - 87
EP - 96
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
IS - 1
ER -