Volatility Transmission and Correlation Analysis between the USA and Asia: The Impact of the Global Financial Crisis

Natàlia Valls and Helena Chuliá

Global Economic Review, 2012, vol. 41, issue 2, 111-129

Abstract: This paper examines volatility transmission and conditional correlations behaviour between the US and the Asian stock markets considering the effect of the Global Financial crisis. One Asian mature market and 10 emerging markets are included in the sample. To carry out the analysis, we use a multivariate asymmetric GARCH model. Results show that there exists volatility transmission between the US and the Asian markets. Moreover, it is found that, after the crisis, volatility transmission patterns have barely changed. Finally, results suggest that the lower the country‘s level of development, the lower the correlation with the USA.

Date: 2012
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DOI: 10.1080/1226508X.2012.686476

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