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The global financial crisis and the integration of emerging stock markets in Asia

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  • The global financial crisis and the integration of emerging stock markets in Asia
  • Kang, Sang Hoon; Yoon, Seong-Min
  • Korea Institute for International Economy Policy


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Title The global financial crisis and the integration of emerging stock markets in Asia
Similar Titles
Material Type Articles
Author(English)

Kang, Sang Hoon; Yoon, Seong-Min

Publisher

[Seoul]:Korea Institute for International Economy Policy

Date 2011-12
Journal Title; Vol./Issue Journal of East Asian Economic Integration:vol. 15(no. 4)(Winter 2011)
Pages 26
Subject Country Eastern Asia(Asia and Pacific)
South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Macroeconomics
Economy < Financial Policy
Holding Korea Institute for International Economy Policy

Abstract

This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate GARCH model indicate strong volatility linkages between the Chinese stock market and the four emerging stock markets since the global financial crisis, suggesting the intensification of stock market integration in Asia since the crisis increases the integration of Chinese stock market in Asia. This strong integration of the markets is important in that the intensified linkages can reduce potential gains from the diversification of international equity portfolios.