TY  - CHAP
AB  - We investigate whether or not the effects of the subprime financial crisis on 12 Asian economies are similar to those of the Asian financial crisis by examining volatility spillovers and time-varying correlation between the US and Asian stock markets. After pretesting volatility causality and constancy of correlation, we estimate an appropriate smooth-transition correlation VAR-GARCH model for each Asian stock market. First, the empirical evidence indicates stark differences in stock market linkages between the two crises. The volatility causality comes from the crises-originating country. Volatility in Asian stock markets Granger-caused volatility in the US market during the Asian crisis, whereas volatility in the US stock market Granger-caused volatility in Asian stock markets during the subprime crisis. Second, decreased correlations during the period of financial turmoil were observed, especially during the Asian financial crisis. Third, the estimated points of transition in the correlation are indicative of market participants’ awareness of the ensuing stock market crashes in July 1997 and in September 2008.
VL  - 9
SN  - 978-0-85724-745-2, 978-0-85724-746-9/1574-8715
DO  - 10.1108/S1574-8715(2011)0000009008
UR  - https://doi.org/10.1108/S1574-8715(2011)0000009008
AU  - Yoshida Yushi
ED  - Yin-Wong Cheung
ED  - Vikas Kakkar
ED  - Guonan Ma
PY  - 2011
Y1  - 2011/01/01
TI  - Chapter 3 Stock Market Linkage between Asia and the United States in Two Crises: Smooth-Transition Correlation VAR-GARCH Approach
T2  - The Evolving Role of Asia in Global Finance
T3  - Frontiers of Economics and Globalization
PB  - Emerald Group Publishing Limited
SP  - 53
EP  - 81
Y2  - 2024/04/16
ER  -