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The current work studies the cause, process, and effects of financial reform in 10 countries in Eastern Asia for the period of 1993–2002, especially focusing upon comparisons between pre- and post-Asia financial crisis. This study utilizes Mann–Whitney U test and Intervention Analysis to explore the different effects of the changes of GDP, stock index, exchange rate, CPI index, and the changes of the unemployment rate before and after the Asia financial crisis. It shows the consistent relationship between stock index, exchange rate, CPI index, and the changes of unemployment rate.

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.

The Asian Monetary Fund, proposed during the 1997–1998 Asian Financial Crisis, was an attempt by East Asian nations to develop collective policy responses to financial crises and provide rapid distribution of emergency funding. It was envisaged that policy prescriptions would exhibit greater regional sensitivity and prevent contagion. The proposal was rejected because of the perceived perpetuation of moral hazard, duplication and conflict with the International Monetary Fund and belief that historical disunity would prevent successful collaboration. This paper advocates, in the context of international financial architecture reform, enhanced East Asian regionalism is crucial to prevent and manage future financial crises.

The purpose of this paper is to investigate the cross-spectra of stock, real estate and bond of ten selected Asian economies in the pre- and post-global financial crisis periods to detect whether there is greater cyclical co-movement post-financial crisis, and whether any observed increased co-movement measures the outcomes of contagion or integration.

Co-spectral approach is the proper econometric tool to deliver economic insight for this research.

Results indicate that Asian stock markets, and to a lesser degree, bond and real estate markets are more correlated post-financial crisis. Similarly, Asian financial markets have experienced increased co-movements with the US financial markets post-financial crisis. Moreover, these observed increased co-movements measure the outcomes of contagion in some cases of within-asset and cross-asset classes, as well as for some cross-US-Asian asset factor relationships along the high-frequency components of between two and four weeks. The stock markets are the most contagious, followed by the real estate markets and bond markets.

The results provide short-term investors with additional co-movement information at higher frequencies in order to identify short-term fluctuations of different asset classes. The empirical study also underscores the role of Asian real estate in investment portfolios in a mixed real estate, stock and bond context from a frequency domain perspective.

The practical implication of this research is that benefits to investors from international diversification may not be as great during the present time compared to previous periods because financial/asset market movements have become more correlated. However, it does not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the values are still between low and moderate range, indicating that some diversification benefits may still be realized.

In advancing the body of knowledge in international financial markets, this research is probably the first study to consider a multi-asset class portfolio context that includes stock, real estate and bond across the ten Asian economies and the USA in a single study. The frequency domain analysis conducted in this paper adds to the understanding of real estate, stock and bond market co-movement, integration and contagion dynamics, as well as the Asian cross-asset factor and US-Asian asset factor relationships in global mixed-investing environment.

This paper investigates the change in informational spillover between nine Asian capital markets and the United States as a result of the 1997–98 financial meltdown in Asia. Our study period extends from about three years prior to the start of the crises on July 2, 1997 to one year after this date. We conduct spillover studies on daily stock market index prices and returns to determine the changes in market interdependence. Our results indicate a considerable increase in cross‐border cointegration during the crisis. Dramatic shifts in predictability and volatility spillovers are observed in most Asian countries as a result of the Asian financial crisis, providing evidence of an increase of interdependence between Asian countries, and thus suggesting contagion. We observe a strong interdependence with the US markets before the crisis, which persists during the crisis. We also show that Hong Kong and Korea have emerged as the most dominant influences in the region during the Asian financial crisis.

This study adds to the ongoing analysis of the long‐term impact of Asian financial crisis on the stock markets of eight Asian‐Pacific countries. Using current data to capture postcrisis behavior of returns, multivariate cointegration analysis reveals that a cointegrating relationship exists among the markets that transcend the financial crisis. Both vector error correction (VEC) and Granger causality tests demonstrate the profound effect of financial crisis in Korea on the returns of other countries. Granger causality tests further reveal that the events surrounding the crisis in Thailand and Indonesia largely dictate their own short‐run returns behavior since the advent of the crisis. Compared to earlier period, the post‐crisis era also experiences a closer relationship among the index returns of Hong Kong, Korea, and Singapore and a heightened degree of convergence among the returns of Asian markets.

The purpose of this paper is to investigate the cointegration and volatility spillover dynamics between the USA and South Asian stock markets, namely, India, Pakistan and Sri Lanka. The main objective of this study is to provide the knowledge about integration of financial market and volatility spillovers before, during and after global financial crisis to investors, fund managers and policy-makers.

The Johansen and Juselius cointegration test, Granger Causality test and bivaraite EGARCH model have been applied in this study to examine integration and volatility spillovers between selected stock markets.

The findings show that long-term integration between the USA market and South Asian emerging stock markets. It is found that USA stock market has causal relationship with emerging stock markets in short-term. The findings of EGARCH model reveal that asymmetric volatility spillover effects significant in all selected stock markets in pre, during and post-crisis periods. Furthermore, significant volatility spillover is found from stock markets of USA to all selected South Asian markets during and post-crisis periods. However, volatility spillovers from USA to India and Sri-Lanka markets are significant, while insignificant in case of Pakistani market in pre-crisis period. Overall, we find that returns and volatility spillover effects are higher in financial crisis period as compared to non-financial crisis period.

The findings of this paper have important implications for investors, portfolio managers and policy-makers. They can take potential benefits from international portfolio diversification by considering all these facts. The understanding and knowledge of across volatility transmission help them to maximize the gains from diversification and minimize the risk. Policy-makers can develop such strategies which protect the markets of these economies from future financial crisis.

Although in finance literature numerous studies have been conducted on integration between different stock markets, most of the studies investigated the integration and volatility spillovers between developed stock markets. However, many studies also analyzed the integration among emerging stock markets in literature review but it is hard to find studies in the context of South Asian stock markets on the effect of global financial crisis on stock markets. The main contribution of this study is to investigate the stock markets integration and volatility transmission between the USA and South Asia by considering the effect of recent 2007 US subprime financial crisis.

This chapter investigates the impact of the euro crisis on Asia’s short-term economic outlook. This chapter tries to answer this question by examining both the trade and financial channels of crisis transmission. More specifically, it looks at the effect of euro crisis on Asian exports and growth, contagion from EU financial markets to Asian financial markets, and influence of EU bank lending on credit growth in Asia. The chapter also touches upon Asia’s policy space to assess how well the region is positioned to weather another major external shock. This chapter finds that the impact of euro crisis on developing Asia points to a sizable but manageable short-term impact. Furthermore, our analysis points to a significant effect on the region’s financial systems, especially its banking sector. This chapter informs policymakers of the impact of the euro crisis and advice to continue to keep a close eye on eurozone developments and their ramifications for their economies.

The purpose of this paper is to analyze the “following” behavior of six currencies in East Asia to RMB before and after the “financial crisis”.

Using foreign exchange spot rate data from 2005 to 2013, the authors investigate the dynamic relationship of RMB and six East Asia currencies with method of DCC-GARCH and quantile regression.

The authors get such conclusions: first, most currencies indeed “follow” RMB in whole sample period but the correlation is “time-varying”; second, the degree of co-movement increased as a whole, which reflects that the influence of China in East Asia rose continuously; third, the East Asian currencies behaved differently before the crisis, but reveal some similarities after the crisis, and prefer to “follow” when RMB depreciates and reluctant to follow when RMB appreciates at a comparatively large degree. The authors argue that it may be related to the different macroeconomic environment faced by East Asia region before and after the crisis, the rising economic influence of China and the development of RMB internationalization’s practice.

The effort could strength the understanding to the “following” behavior of East Asia currencies to RMB, the authors also point out that RMB has been as regional currency anchor, but the role of anchor is unstable, and is affected by international economic circumstance, China should adapt some methods to strength RMB’s influence to East Asia currency.