 Role of global financial crisis in causing dynamic connectedness of Asian equity marketsAzwar Ariff and Abul Masih MPRA Paper from University Library of Munich, Germany Abstract: Dynamic connectedness of equity markets especially when shock happened has been a concern for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region when the US subprime crisis or better-known as the global financial crisis occurred in 2008.This paper wants to know whether there has been a shift in terms of net shock givers and receivers over the time? Subsequently, how has connectedness in equity markets changed over time? Finally, do markets become more connected during crisis period? We employ daily data of US, Japan, South Korea, China, Singapore, Malaysia, Indonesia and Thailand. We find that Singapore, US, Malaysia and South Korea played significant roles in bringing about dynamic connectedness of Asian equity markets. In terms of the global financial crisis, emerging market economies such as Singapore, Malaysia and South Korea seem to be vulnerable to the shock and may have contributed as spillover effect of shock to other Asian equity markets. Whereas economies such as China and Japan became a net receiver of shock. Keywords: Dynamic connectedness; Global Financial Crisis; Asian equity markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:112555 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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