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- Title
Financial and Economic Integration's Impact on Asian Equity Markets' Sensitivity to External Shocks.
- Authors
Asgharian, Hossein; Nossman, Marcus
- Abstract
This paper investigates the spillover effects from U.S. and regional stock markets on local stock markets in the Pacific Basin region and China. We also analyze if the spillover depends on countries' financial and economic integration. We apply a stochastic volatility model with jumps in order to separate the spillover of extreme shocks from those of normal shocks. We find that the spillovers of both normal and extreme shocks are significant for almost all Asian countries except China. We also find that the time-variation in stock market interdependence can largely be associated with economic integration.
- Subjects
UNITED States; CHINA; EXTERNALITIES; STOCKS (Finance); REGIONAL stocks; FINANCIAL markets; MARKET failure
- Publication
Financial Review, 2013, Vol 48, Issue 2, p343
- ISSN
0732-8516
- Publication type
Article
- DOI
10.1111/fire.12006