IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH-EAST ASIAN STOCK MARKETS: A NON-LINEAR APPROACH

Ólan T. Henry

Australian Economic Papers, 2007, vol. 46, issue 2, pages 122-135

Abstract: This paper considers the question of how shocks to returns are transmitted across South-East Asian equity markets. Using a reasonably general statistical model our results suggest that a negative-return innovation leads to higher levels of domestic volatility than a positive innovation of equal magnitude. There is strong evidence that returns shocks are transmitted across markets, impacting not only on prices, but also on volatility. Any shock, positive or negative, serves to raise volatility. Copyright 2007 The Authors
Journal compilation 2007 Blackwell Publishing Ltd/University of Adelaide and Flinders University .

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