Regional And International Linkages Of The Asean-5 Stock Markets: A Multivariate Garch Approach
This paper examines the linkages among the ASEAN-5 stock exchanges, and their relationship with the Hong Kong and U.S. markets by using the multivariate GARCH approach for the period before and after the global financial crisis. The mean and volatility spillover effects are analysed. The mean, pa...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2016
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| Subjects: | |
| Online Access: | http://eprints.usm.my/37433/1/aamjaf120116_03.pdf http://eprints.usm.my/37433/ http://web.usm.my/journal/aamjaf/12-1-3-2016.html |
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| Summary: | This paper examines the linkages among the ASEAN-5 stock exchanges, and their
relationship with the Hong Kong and U.S. markets by using the multivariate GARCH
approach for the period before and after the global financial crisis. The mean and
volatility spillover effects are analysed. The mean, past-volatility, and past-shock
spillovers between the ASEAN stock markets occurred to a lesser extent in the post-crisis
period. While these findings suggest weaker linkages, the reaction to bad market news
has strengthened after the crisis. The U.S. market is the main source to the mean spillover
effects. Although the past-volatility and past-shock spillovers effects from the Hong Kong
market are larger, the ASEAN markets tend to react more strongly towards unfavourable
U.S. market news. |
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