THE EFFECTS OF U.S. UNCONVENTIONAL MONETARY POLICY ON ASIAN STOCK MARKETS

Chien-Chiang Lee (), Mei-Ping Chen () and Chun-Chie Huang
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Chun-Chie Huang: Department of International Business Studies, National Chi-Nan University, Nantou, Taiwan

The Singapore Economic Review (SER), 2020, vol. 65, issue 04, 917-945

Abstract: To assess the spillover effects of quantitative easing (QE) on return and volatility from the U.S. market to the selected Asian markets, this study applies dynamic correlation coefficient-generalized autoregressive conditional heteroscedasticity model to capture the time-varying nature of return and volatility spillovers during non-QE and QE periods of the sample countries. Furthermore, we incorporate the estimated time-varying correlation coefficients and country-specific factors to probe the determinants of the spillover. We find that the U.S. QE policies have significantly affected the correlations between the U.S. and some Asian countries, to which it performs significantly progressive decline in the correlations during the latest QE. Greater stock market liquidity remarkably increases their financial spillovers.

Keywords: Spillover; quantitative easing (QE); dynamic correlation coefficient-generalized autoregressive conditional heteroscedasticity model (DCC-GARCH); country factors; East Asia (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S0217590817500205

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