IMPACT OF THE GLOBAL FINANCIAL CRISES ON THE MAJOR ASIAN COUNTRIES AND USA STOCK MARKETS AND INTER-LINKAGES AMONG THEM

Cenk Gokce Adas
Additional contact information
Cenk Gokce Adas: Istanbul University, Faculty of Economics

International Journal of Economic Sciences, 2016, vol. 5, issue 1, 1-17

Abstract: This study examines the impact of the global financial crisis on the stock markets returns of China, Japan, India, and USA through E-GARCH model. In addition, it investigates the nature of volatility spillovers between stock indices during the global financial meltdown employing Granger Causality test. Daily stock prices are used for the period from 6th of January, 2006 to 22nd of April 2011. The main findings are as follows. First, in all stock markets high volatility and setback on the daily returns exist due to the financial crisis. Further the global financial crisis less affected Shanghai stock exchange than the other stock markets whereas it influenced the USA stock markets in large extent. Also stock returns volatility get moderated in the major Asian Countries stock markets after post crisis period but it has been remained in the USA stock exchanges. Secondly, Granger causality test shows that after the onset of the financial crisis, the USA stock markets have bidirectional influences on the each of other market, but didn?t receive any volatility spillover from major Asian Countries stock markets. Indian stock market experiences volatility spillover from all the stock markets. Japanese stock market receives volatility spillover only from USA stock markets. However, Shanghai stock exchange doesn?t experience any volatility spillover from the other stock markets.

Keywords: Volatility Spillover; Financial crisis; China, Japan, India and USA Stock Markets; E-GARCH; Granger Causality. (search for similar items in EconPapers)
JEL-codes: C58 F65 G01 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://iises.net/international-journal-of-economi ... blication-detail-665
https://iises.net/international-journal-of-economi ... etail-665?download=1

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:jijoes:v:5:y:2016:i:1:p:1-17

Access Statistics for this article

International Journal of Economic Sciences is currently edited by Robert Holman

More articles in International Journal of Economic Sciences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().