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Dynamic Connectedness of Asian Equity Markets
Author:
Roberto Guimarães-Filho
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Mr. Gee Hee Hong null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2016: Issue 057
Language:
English
Publication Date:
09 Mar 2016
DOI:
https://doi.org/10.5089/9781513572451.001
ISBN:
9781513572451
ISSN:
1018-5941
Pages:
36
Keywords:
WP; consumer goods; financial spillovers; Asia financial integration; financial linkages; stock market; vector autoregression; China's equity market movement; equity return; spillovers from China; equity market spillover; market monitoring; equity markets return; China's economy; stock market volatility; equity price; spillovers from China to Hong Kong; China's equity markets; equity market boom; Stock markets; Global financial crisis of 2008-2009; Emerging and frontier financial markets; Financial integration; Stocks; Global; Asia and Pacific
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets. Using time-varying connectedness measures, we address the following questions: (1) How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods? (2) Which markets are major sources and major recipients of shocks? Has there been a shift in terms of the net shock givers and shock receivers (directional connectedness over time)? Finally, we investigate the connectedness between China’s equity markets and other countries’ equity markets since August 2015 to highlight the growing importance of emerging market economies, particularly China, as sources of shocks.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund