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

Francis In; Sangbae Kim; Jai Hyung Yoon; Christopher Viney

doi:10.1016/S1057-5219(00)00045-4

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

Francis In
, Sangbae Kim
, Jai Hyung Yoon
, Christopher Viney

Monash University
Deakin University

Research output: Contribution to journal › Article › peer-review

61 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	87-96
Number of pages	10
Journal	International Review of Financial Analysis
Volume	10
Issue number	1
DOIs	https://doi.org/10.1016/S1057-5219(00)00045-4
State	Published - Mar 2001

Keywords

Dynamic interdependence
G12
G15
Market integration
Multivariate VAR-EGARCH
Volatility transmission

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10.1016/S1057-5219(00)00045-4

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title = "Dynamic interdependence and volatility transmission of Asian stock markets: Evidence from the Asian crisis",

abstract = "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.",

keywords = "Dynamic interdependence, G12, G15, Market integration, Multivariate VAR-EGARCH, Volatility transmission",

author = "Francis In and Sangbae Kim and Yoon, \{Jai Hyung\} and Christopher Viney",

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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

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KW - G15

KW - Market integration

KW - Multivariate VAR-EGARCH

KW - Volatility transmission

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JO - International Review of Financial Analysis

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ER -

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

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Keywords

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