Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries
Bong-Han Kim and
Hyeongwoo Kim ()
No auwp2011-04, Auburn Economics Working Paper Series from Department of Economics, Auburn University
We estimate dynamic conditional correlations of financial asset returns across countries by an array of multivariate GARCH models and analyze spillover effects of the recent US financial crisis on 5 emerging Asian countries. We find a symptom of financial contagion around the collapse of Lehman Brothers in September 2008. There appears to be a regime shift to substantially higher conditional correlations that persisted for a fairly short-period of time. We also propose a novel approach that allows simultaneous estimations of the conditional correlation coefficient and the effects of its determining factors over time, which can be used to identify channels of spillovers. We find the dominant role of foreign investment for the conditional correlations in international equity markets. The dollar Libor-OIS spread, the sovereign CDS premium, and foreign investment are found to play significant roles in foreign exchange markets.
Keywords: Financial Crisis; Spillover Effects; Contagion; Emerging Asian Countries; Dynamic Conditional Correlation; DCCX-MGARCH (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
Journal Article: Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries (2015)
Working Paper: Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries (2015)
Working Paper: Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:abn:wpaper:auwp2011-04
Access Statistics for this paper
More papers in Auburn Economics Working Paper Series from Department of Economics, Auburn University Contact information at EDIRC.
Bibliographic data for series maintained by Hyeongwoo Kim ().