Regional And International Linkages Of The Asean-5 Stock Markets: A Multivariate Garch Approach

Lee, Stan Shun Pinn and Kim, Leng Goh (2016) Regional And International Linkages Of The Asean-5 Stock Markets: A Multivariate Garch Approach. Asian Academy of Management Journal of Accounting and Finance, 12 (1). pp. 1-23. ISSN 1823-4992

Preview

PDF Download (1MB) | Preview

Abstract

This paper examines the linkages among the ASEAN-5 stock exchanges, and their relationship with the Hong Kong and U.S. markets by using the multivariate GARCH approach for the period before and after the global financial crisis. The mean and volatility spillover effects are analysed. The mean, past-volatility, and past-shock spillovers between the ASEAN stock markets occurred to a lesser extent in the post-crisis period. While these findings suggest weaker linkages, the reaction to bad market news has strengthened after the crisis. The U.S. market is the main source to the mean spillover effects. Although the past-volatility and past-shock spillovers effects from the Hong Kong market are larger, the ASEAN markets tend to react more strongly towards unfavourable U.S. market news.

Item Type:	Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions:	Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal of Accounting and Finance
Depositing User:	Mr Firdaus Mohamad
Date Deposited:	15 Nov 2017 07:18
Last Modified:	15 Nov 2017 07:18
URI:	http://eprints.usm.my/id/eprint/37433

Actions (login required)

View Item