Dynamic Connectedness of Asian Equity Markets

Roberto Guimarães-Filho and Gee Hee Hong

No 2016/057, IMF Working Papers from International Monetary Fund

Abstract: Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets. Using time-varying connectedness measures, we address the following questions: (1) How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods? (2) Which markets are major sources and major recipients of shocks? Has there been a shift in terms of the net shock givers and shock receivers (directional connectedness over time)? Finally, we investigate the connectedness between China’s equity markets and other countries’ equity markets since August 2015 to highlight the growing importance of emerging market economies, particularly China, as sources of shocks.

Keywords: WP; consumer goods; financial spillovers; Asia financial integration; financial linkages; stock market; vector autoregression; China's equity market movement; equity return; spillovers from China; equity market spillover; market monitoring; equity markets return; China's economy; stock market volatility; equity price; spillovers from China to Hong Kong; China's equity markets; equity market boom; Stock markets; Global financial crisis of 2008-2009; Emerging and frontier financial markets; Financial integration; Stocks; Global; Asia and Pacific (search for similar items in EconPapers)
Pages: 36
Date: 2016-03-09
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Citations: View citations in EconPapers (23)

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