Shift-Volatility Transmission in East Asian Equity Markets: New Indicators

2014 ◽  
pp. 273-291 ◽  
Author(s):  
Marcel Aloy ◽  
Gilles De Truchis ◽  
Gilles Dufrénot ◽  
Benjamin Keddad
Keyword(s):  
East Asian ◽  
Equity Markets ◽  
Volatility Transmission

Shock and volatility transmission in the oil, US and Gulf equity markets

2007 ◽  
Vol 16 (3) ◽  
pp. 357-368 ◽  
Author(s):  
Farooq Malik ◽  
Shawkat Hammoudeh
Keyword(s):  
Equity Markets ◽  
Volatility Transmission

scholarly journals Dynamics of integration in East Asian equity markets

2017 ◽  
Vol 45 ◽  
pp. 37-50 ◽  
Author(s):  
Tadaaki Komatsubara ◽  
Tatsuyoshi Okimoto ◽  
Ken-ichi Tatsumi
Keyword(s):  
East Asian ◽  
Equity Markets

CONTAGION AMONG SELECT GLOBAL EQUITY MARKETS: A TIME-FREQUENCY ANALYSIS

2019 ◽  
Vol 19 (04) ◽  
pp. 1950023
Author(s):  
AVISHEK BHANDARI ◽  
BANDI KAMAIAH
Keyword(s):  
Frequency Analysis ◽  
Financial Crises ◽  
East Asian ◽  
Equity Markets ◽  
Discrete Wavelet ◽  
Time Frequency Analysis ◽  
Time Frequency ◽  
Short Run ◽  
Global Equity Markets ◽  
Wavelet Methods

This paper investigates the phenomenon of contagion among some selected global equity markets using novel methods from wavelet-based time-frequency analysis. It surveys some seminal literature on contagion and examines, using both continuous and discrete wavelet methods, the effects of major financial crises on Indian markets. Strong evidence of co-movements in the short run, which indicates contagion, between Indian and some East Asian markets is observed, signifying diversification risks for Indian investors during periods of financial turbulence.

East Asian equity markets, financial crises, and the Japanese currency

2007 ◽  
Vol 21 (1) ◽  
pp. 138-152 ◽  
Author(s):  
Yan-Leung Cheung ◽  
Yin-Wong Cheung ◽  
Chris C. Ng
Keyword(s):  
Financial Crises ◽  
East Asian ◽  
Equity Markets

scholarly journals East Asian Financial Contagion under DCC-Garch

2009 ◽  
Author(s):  
J H Cho ◽  
Ali M. Parhizgari
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
East Asian ◽  
Equity Markets ◽  
Asian Financial Crisis ◽  
Financial Contagion ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Alternative Sources ◽  
Target Country

We consider the definition and measurement of contagion by analysing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC). Taking Thailand and Hong Kong as alternative sources of contagion, a total of fourteen source-target pairs is analyzed. We define contagion as the statistical break in the computed DCCs as measured by the shifts in their means and medians. In the DCC process, the parameters of each pair of source-target country contagion are allowed to vary and be dictated by the data. Contagion is tested using DCC means and medians difference tests. Our findings indicate the presence of contagion in the equity markets across all the fourteen pairs of source-target countries that are considered.  

East Asian Equity Markets, Financial Crises, and the Japanese Currency

2003 ◽  
Author(s):  
Yin-Wong Cheung ◽  
K. C. Ng ◽  
Stephen Yan-Leung Cheung
Keyword(s):  
Financial Crises ◽  
East Asian ◽  
Equity Markets
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