Abstract
Purpose
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.
Design/methodology/approach
It is based on a VAR-structural-GARCH model.
Findings
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.
Originality/value
The method has two advantages: it is both uniquely determined and dynamic.
Keywords
Citation
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-11-2014-0095
Publisher
:Emerald Group Publishing Limited
Copyright © 2016, Emerald Group Publishing Limited