THE IMPACT OF THE 2008 GLOBAL FINANCIAL CRISIS ON THE STRUCTURE OF THE TRANSMISSION OF PRICE INNOVATIONS ACROSS FINANCIAL MARKETS: THE CASE OF SOUTHWEST ASIAN EQUITY MARKETS

Qunfeng Liao, Seyed Mehdian and John Stephens

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2016, vol. 63, issue 2, 195 - 208

Abstract: This study examines the reaction of Southeast Asian equity markets to the transmission of price innovations from major equity markets during the pre and post periods of the 2008 global financial crisis. In particular, we examine the reaction of returns indices in Malaysia, the Philippines, South Korea, Taiwan, and Thailand as endogenous variables, and compare them to the returns indices of the U.S., the Eurozone, Japan, and China as exogenous variables. The results of VAR models indicate the combined and individual impact of the price innovations from the major equity markets on the volatility of returns of selected countries is relatively trivial during either the pre- or post-financial crisis periods. However, the individual impact of the U.S. innovations is generally higher during the post-financial crisis. The ARCH and GARCH models indicate the stock markets of Southeast Asian countries are more responsive to their own price innovations during both the pre- and the post-crisis periods, although some response to U.S. and Eurozone shocks is also observed. JEL Codes - G01, G15

Keywords: global financial crisis; Southeast Asian equity markets; price innovations (search for similar items in EconPapers)
Date: 2016
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