US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11

Abdulnasser Hatemi-J, Eduardo Roca and Fang Tang
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Fang Tang: Griffith University, Department of Accounting, Finance and Economics, Postal: Nathan campus - Griffith University 170 Kessels Road Nathan Qld 4111 - Australia, http://www.griffith.edu.au/

Economia Internazionale / International Economics, 2005, vol. 58, issue 4, 449-470

Abstract: Considering the global dominance of the US equity market, it is expected that the impact of September 11 on the US market would spill-over to other markets. Since this terrible event had created a global climate of fear and uncertainty, it is possible that the US spill-over effect could have been driven not only by fundamental factors but also by non-fundamental ones. Thus, contagion could have played a significant role in transmitting the effect of September 11 from the US to other markets. In this paper, we verify whether indeed this has happened. Based on leveraged bootstrap causality tests, we examine the causal effects of the US on Indonesia, China, Japan, Taiwan and Singapore in relation to September 11. We found that the causal effects of the US on Japan and Singapore intensified as a result of September 11; however, we did not find these to be associated with contagion effects. It appears that the September 11 impact on the US market was not transmitted to the other Asian markets as the US influence on these markets either remained the same or even diminished.

Keywords: Equity market contagion; Hacker-Hatemi-J test; Asian equity markets (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2005
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