The purpose of this paper is to provide a method for computing the spillover index first proposed by Diebold and Yilmaz (2009), with empirical application on Asian stock markets.
It is based on a VAR-structural-GARCH model.
The results clearly show that the main driver of fluctuations in Asian financial markets is the USA, with China having little connection with other markets. Further, evidence of financial contagion is found during both the 1997 Asian financial crisis and the 2008 global financial crisis.
The method has two advantages: it is both uniquely determined and dynamic.
Wang, Y. and Liu, L. (2016), "Spillover effect in Asian financial markets: A VAR-structural GARCH analysis", China Finance Review International, Vol. 6 No. 2, pp. 150-176. https://doi.org/10.1108/CFRI-11-2014-0095Download as .RIS
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