East Asian equity markets, financial crises, and the Japanese currency

Cheung, Yan Leung Stephen; Cheung, Yin‐Wong; Ng, Chris C.

doi:10.1016/j.jjie.2005.11.003

Cited by 15 publications

(3 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…1 The importance of the US equity market to the equity markets in the region has been studied in Cheung et al (2007). They find that the US market leads the four Asian emerging markets (Hong Kong SAR, Korea, Singapore and Taiwan) before, during and after the Asian financial crisis in 1997/98, while the four markets Granger-cause the US market during the crisis period.…”

Section: Introductionmentioning

confidence: 99%

Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil

Yiu¹,

Choi

2010

Applied Financial Economics

View full text Add to dashboard Cite

This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to early 2009. We employ the asymmetric Dynamic Conditional Correlation (DCC) model to estimate the correlation between this Asian factor and the US stock market. We find that there is a mean shift in the estimated DCC in the period from late of 2007. We refer this finding as contagion from the US to the Asian markets. However, we find no such evidence of having contagion between the US and individual markets in Asia during the Asian financial crisis.

show abstract

Section: Introductionmentioning

confidence: 99%

Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil

Yiu¹,

Choi

2010

Applied Financial Economics

View full text Add to dashboard Cite

show abstract

“…Emerging market economies in Asia had to face a few major financial crises over the past 30 years—Fiscal deficit and rise in money growth contributing to the balance of payments crisis in 1990 in India, the East Asian currency crisis of 1997 and financial crisis of 2008. It is well documented that Asian economies experienced volatility and asset bubbles during the 1997 East Asian crisis (Chakrabarti & Roll, 2002; Cheung et al, 2007; Cook & Deveruex, 2006; Dua & Sinha, 2007; Fang, 2002; Ferri et al, 1999; Mishkin, 1999; Rajan & Zingales, 1998; Shirono, 2008). However, emerging markets with better economic fundamentals were more prepared to face the 2008 financial crisis as compared to developed markets (Ahmed et al, 2017; IMF, 2010).…”

Section: Introductionmentioning

confidence: 99%

Factors Associated with Growth in India’s International Reserves: VECM Analysis

Sreeram¹,

Sayed²

2022

Foreign Trade Review

View full text Add to dashboard Cite

This study empirically examines the determinants of India’s international reserves in the long run and in the short run with seven other macroeconomic variables using the vector error correction model. The Johansen co-integration results indicate a positive long-run relationship between international reserves holdings and broad money M3 and foreign direct investment (FDI) inflows and negative relationship with external debt. The Granger causality test outcome also verifies the results, demonstrating that increase in broad money supply and FDI inflows are the reason for the accumulation in international reserves in India in the long run. M3 demonstrated a higher influence on international reserves suggesting that monetary policy is used widely in regulating the international reserves in India. This study also estimated the short-run dynamics and the tendency of the variables to reinstate to its long-run equilibrium. The error correction term coefficient entails a moderately low level of adjustment of international reserves holding, indicating that it is the other reason that the level of international reserves holding in India is high in the short run. JEL Codes: E51, F31, F41

show abstract

“…Several studies have examined linkages between the equity markets during the 1997 Asian financial crisis (In Francis et al 2001;Wan and Wong 2001;Yang et al 2003), and the last 2008 global financial crisis (Yilmaz 2010;Cheung et al 2007;Kim et al 2015;Li and Giles 2015;Lean et al 2015;Vieito et al 2015;Zhu et al 2019) and some studies, see, for example, Fung et al (2011) and Guo et al (2017), develop theories to explain that crisis. However, the linkages between equity markets during the Chinese stock market crash of 2015have been rarely examined.…”

Section: Introductionmentioning

confidence: 99%

An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management

Yousaf

Ali

Wong

2020

JRFM

View full text Add to dashboard Cite

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost equal during the Chinese stock market crash and the US financial crisis. Regarding hedge ratios, fewer US stocks were required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk management.

show abstract

East Asian equity markets, financial crises, and the Japanese currency

Cited by 15 publications

References 37 publications

Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil

Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil

Factors Associated with Growth in India’s International Reserves: VECM Analysis

An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management

Contact Info

Product

Resources

About