 The current global financial crisis: Do Asian stock markets show contagion or interdependence effects?Lucía Morales and Andreosso-O’Callaghan, Bernadette Journal of Asian Economics, 2012, vol. 23, issue 6, 616-626 Abstract: In the framework of the current global economic crisis, a pertinent question is whether the world economies are suffering from contagion or interdependence effects. With its origins in the US sub-prime mortgage market crisis starting at the end of 2007, when a loss of confidence by investors in the value of securitized mortgages resulted in a liquidity crisis, hard-hitting the banking system and rapidly spreading into the financial markets, the effects of the crisis were automatically reflected in the rest of the world economies. These effects become more severe as the rest of the world is facing economic and financial instability. Therefore, the American shock can be seen as the trigger that revealed the other economies’ own financial problems. The main finding of this paper shows that the US stock markets are not generating contagious effects into the Asian stock markets. However, strong evidence of volatility transmission derived from these economies’ interlinkages has been detected. Keywords: Stock returns; VAR-EGARCH modeling; Contagion; Interdependence; Volatility spillovers (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:23:y:2012:i:6:p:616-626 DOI: 10.1016/j.asieco.2012.09.002 Access Statistics for this article Journal of Asian Economics is currently edited by C. Wiemer More articles in Journal of Asian Economics from Elsevier |
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