DYNAMIC INTERCONNECTEDNESS AND RISK CONTAGION AMONG ASIAN FINANCIAL MARKETS

Kingsley E. Dogah () and Gamini Premaratne
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Kingsley E. Dogah: International Business School Suzhou, Xi’an Jiaotong-Liverpool University, Suzhou, China
Gamini Premaratne: ��School of Business & Economics, Universiti Brunei Darussalam, Gadong BE1410, Brunei

The Singapore Economic Review (SER), 2024, vol. 69, issue 08, 2475-2520

Abstract: This study investigates dynamic interconnectedness, spillover transmissions and risk contagion through the lens of intraday and overnight returns to ascertain whether intraday and overnight trading information (returns) have idiosyncratic effects on risk behavior of financial markets. The study employs the generalized VAR-based spillover measure, graph theory and Bayesian causality network (BN) models. Our results reveal that spillover propagation from the US market is mainly through the intraday return series to Asian markets, whereas the overnight series is mainly a recipient of spillovers. Furthermore, in terms of risk contagion, the result identifies the most systemically central financial markets (SCFMs) as Singapore, Hong Kong, Korea and Taiwan. In particular, the findings demonstrate that while Singapore maintains the role as the most systemically central markets in large part, other markets occasionally took the leading role as most central markets. Overall, the findings provide important practical implications for market regulators and investors to monitor the channels of trading information and the performance of SCFMs for better risk management and strategic investment decisions.

Keywords: Interconnectedness; risk contagion; systemically important financial markets; spillovers; Asia (search for similar items in EconPapers)
JEL-codes: C1 C5 D53 G11 G15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S021759082050071X

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