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Dynamic linkages between the China and ASEAN stock markets: Asian financial crisis and the 2007 subprime crisis

Abdul Manap, Turkhan Ali (2011) Dynamic linkages between the China and ASEAN stock markets: Asian financial crisis and the 2007 subprime crisis. In: International conference on "China's Growth and the World Economy", 7-8 July, 2011, Perth, Australia . (Unpublished)

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Abstract

Understanding the transmission mechanism among the stock markets is important and of great interests both for market investors and market regulators. This paper takes alternative way to investigate the relationship between the China and the ASEAN stock markets during the Asian financial crisis and the Subprime crisis. In doing so, a vector-autoregressive multivariate conditional volatility model that account for asymmetric volatility effect is used to model the mean and volatility process of the Chinese and ASEAN stocks markets. The results indicate spillover effect in both of Chinese stock market on ASEAN and variance between Chinese and ASEAN stock markets and the volatility transmission mechanism is asymmetric. i.e., negative innovations in one market increase volatility in another market considerably more than positive innovation. We also find higher pair-wise correlation coefficients during the recent crisis period. Our finding suggest that Chinese market and ASEAN market are more integrated and they are not react not only to local news but also to news originating in the other markets, especially when the news is adverse.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 5324/8521
Uncontrolled Keywords: Dynamic interdependence; volatility transmission, market integration, multivariate VAR-EGARCH , Chinese stock market
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory > HB221 Price
H Social Sciences > HB Economic Theory > HB71 Economics as a science
H Social Sciences > HG Finance
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Dr Turkhan Ali Abdul Manap
Date Deposited: 06 Dec 2011 00:32
Last Modified: 18 Mar 2013 02:16
URI: http://irep.iium.edu.my/id/eprint/8521

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