Transmission of the Global Financial Crisis to the East Asian equity markets

Phuong Thao Tran, Kevin Daly, Craig Ellis

    Research output: Contribution to journalArticlepeer-review

    Abstract

    This paper investigates the transmission mechanism of the Global Financial Crisis originated in the United States to the East Asian equity markets, including the developed markets (Hong Kong, Japan and Singapore), emerging markets (Malaysia, Thailand and Taiwan) and frontier market (Vietnam). To test for the transmission, we employ the constant conditional correlation (CCC) and the dynamic conditional correlation (DCC) based on the MGARCH model to estimate the time-varying correlations between the United States and East Asian equity markets. Our empirical findings suggest that the Global Financial Crisis transmitted to these markets vary over time, particularly to Hong Kong and Singapore during the pre-crisis period, and to Japan and Vietnam during the crisis period. In addition, the results show that almost all the East Asian markets reveal higher correlations to other markets in the region than the United States even during the crisis period. Finally, the crisis is attributed to enhancing the correlations between the frontier market towards regional and global markets.
    Original languageEnglish
    Pages (from-to)171-183
    Number of pages13
    JournalInternational Journal of Economics and Finance
    Volume5
    Issue number5
    DOIs
    Publication statusPublished - 2013

    Keywords

    • Global Financial Crisis
    • equity markets
    • East Asia

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