Analyzing Financial Risk and Co-Movement of Gold Market, and Indonesian, Philippine, and Thailand Stock Markets: Dynamic Copula with Markov-Switching

Pastpipatkul, Pathairat; Yamaka, Woraphon; Sriboonchitta, Songsak

doi:10.1007/978-3-319-27284-9_37

Cited by 12 publications

(1 citation statement)

References 22 publications

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“…Moreover, many recent studies, such as Tofoli, Zigemann and Silva Filho (2013) and Karimalis and Nimokis (2014), have found that the conditional correlation during markets upturn is less than during market downturns. Thus, this confirms the high dependence regime as market downturn regime and low dependence regime as market upturns regime (Pastpipatkul and et al (2016)). Based on the result, the sum of 1,( 1) and can explain market situation, the regime 1 refers to bear market (high correlation regime) and the regime 2 refers to bull market (low correlation regime).…”

Section: Empirical Results Of Ms-dcc-gjr Garch (1 1)supporting

confidence: 78%

Contagion effect analysis of US to East Asia stock markets

2019

El Sawah, S. (Ed.) MODSIM2019, 23rd International Congress on Modelling and Simulation.

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The economy of East Asia countries depends on the US economy through international trade, international finance, and exchange rate policies. The objective of this paper is to investigate contagion effect between the East Asia stock markets and the US stock market by using the Markov Switching DCC-GJR GARCH model. The information about the contagion effect among the East Asia and USA stock market indexes was gathered daily during the period of July 1, 2009 to July 5, 2 0 1 9, which was after the financial crisis. Since the dynamic condition correlation may shift because of regime switching, the conditional correlations were estimated by the application of Markov Switching DCC-Skew-GJR GARCH, which can be divided into high and low correlation regimes. The results showed that the conditional correlation is not constant with positive value. In addition, they can be separated into two regimes, including regime 1 with high conditional correlation (bear market), and regime 2 with low conditional correlation (bull market). The highest correlation could be observed between the USA and Japan Stock markets, followed by between the USA and China stock markets. Furthermore, the positive conditional correlations were found between the USA and other East Asia stock markets, and among East Asia stock markets themselves. This has concurred with the current situation when the effects of shocks such as the trade policy between China and USA not only created the impact between the two countries, but the impacts also spread to neighboring countries in East Asia. The contagion test results of this study confirms the occurrence of the contagion effect.

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Section: Empirical Results Of Ms-dcc-gjr Garch (1 1)supporting

confidence: 78%