TY  - CHAP
AB  - Abstract This chapter examines dynamic connectedness among emerging Asian equity markets as well as explores their linkages vis-à-vis other major global markets. We find that international equity markets are tightly integrated. Measuring connectedness based on a generalized Vector Autoregressive (VAR) model, more than half of all total forecast error variance in equity return and volatility shocks come from other markets as opposed to country own shocks. When examining the degree of connectedness over time, we find that international stock markets have become increasingly connected, with a gentle upward trend since the Asian financial crisis (AFC) but with a rapid burst during the global financial crisis (GFC). Despite the growing importance of Asian emerging markets in the world economy, we find that their influence on advanced economies are still relatively small, with no significant increase over time. During the past decade, advanced markets have been consistently net transmitters of shocks while emerging Asian markets act as net receivers. Based on the nature of equity shock spillovers, we also find that advanced countries are still tightly connected among themselves while intraregional connectedness within Asia remains strong. By investigating whether uncertainty plays an important role in explaining the degree of stock market connectedness, we find that economic policy uncertainty (EPU) from the US is an important source of financial shock spillover for the majority of international equity markets. In contrast, US financial market uncertainty as proxied by the VIX index drives equity market spillovers only among advanced economies.
VL  - 25
SN  - 978-1-78756-453-4, 978-1-78756-454-1/1571-0386
DO  - 10.1108/S1571-038620180000025004
UR  - https://doi.org/10.1108/S1571-038620180000025004
AU  - Manopimoke Pym
AU  - Prukumpai Suthawan
AU  - Sethapramote Yuthana
PY  - 2018
Y1  - 2018/01/01
TI  - Dynamic Connectedness in Emerging Asian Equity Markets
T2  - Banking and Finance Issues in Emerging Markets
T3  - International Symposia in Economic Theory and Econometrics
PB  - Emerald Publishing Limited
SP  - 51
EP  - 84
Y2  - 2024/09/22
ER  -