Contagion effect analysis of US to East Asia stock markets
Abstract: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 crisi… Show more
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