International transmission of stock exchange volatility: Empirical evidence from the Asian crisis

Fernández-Izquierdo, Ángeles; Lafuente, Juan Angel

doi:10.1016/j.gfj.2004.02.002

Cited by 45 publications

(12 citation statements)

References 25 publications

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“…Our findings suggest that this result can also be extended to the 'outlying values'. An explanation for this possible extension of linkages to 'abnormal observations' can be found in Fernandez- Izquierdo and Lafuente (2004). They use bivariate GARCH models to analyze the transmission of volatility in the Asia-Pacific area and conclude that noisy transmission of news is the key factor explaining the link between volatilities during the Asian crisis.…”

Section: Identifying Outliers In Asia-pacific Stock Index Returnsmentioning

confidence: 99%

Robust outlier detection for Asia–Pacific stock index returns

Ané

Ureche-Rangau

Gambet

et al. 2008

Journal of International Financial Markets, Institutions and Mo

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Section: Identifying Outliers In Asia-pacific Stock Index Returnsmentioning

confidence: 99%

Robust outlier detection for Asia–Pacific stock index returns

Ané

Ureche-Rangau

Gambet

et al. 2008

Journal of International Financial Markets, Institutions and Mo

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“…Using a VAR-EGARCH model, they find that reciprocal volatility transmission existed between Hong Kong and Korea, and unidirectional volatility transmission from Korea to Thailand during the crisis, suggesting that Hong Kong played a significant role in volatility transmission to the other Asian markets. Fernandez-Izquierdo and Lafuente (2004) investigate dynamic linkages between international stock market volatility during the Asian crisis. The three latent factors extracted from 12 stock exchanges are associated with specific geographic areas: Europe, America and Asia.…”

Section: The Literaturementioning

confidence: 99%

Market interdependence and financial volatility transmission in East Asia

Gallo

Velucchi

2008

Int. J Fin Econ

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In this paper, we adapt the Multiplicative Error Model (MEM) to analyze the interdependence of volatility across markets. The MEM specifies the dynamics of a volatility proxy (absolute returns) for one market including terms accounting for an asymmetric impact of good or bad news on the market, and possible volatility spillover terms from other markets. The specific empirical focus of the paper is on the interdependence structure of seven East Asian markets between 1990 and 2005. We pay specific attention to the stability of the significance of the links across markets on subperiods that consider or exclude the 1997 crisis and contrast results between earlier samples and more recent ones. Copyright © 2008 John Wiley & Sons, Ltd.

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“…Bekaert andHarvey (1995), Fratzscher (2002) and Fernandez-Izquierdo and Lafuente (2004) find that a number of stock markets exhibit a high degree of integration. Similar results were found by Longin and Solnik (1995) and Christofi and Pericli (1999) who used correlation and covariance matrix estimates that provide evidence of increased integration, implying fewer opportunities to diversify risk and increase returns across various stock markets.…”

Section: Introductionmentioning

confidence: 99%

A factor analysis of international portfolio diversification

Valadkhani

Chancharat²,

Harvie³

2008

Studies in Economics and Finance

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Purpose -The purpose of this paper is to investigate the relationships between stock market returns of 13 countries based upon monthly data spanning December 1987 to April 2007. Design/methodology/approach -Specifically, the principal component (PC) and maximum likelihood (ML) methods are used to examine any discernable patterns of stock market co-movements. Findings -Factor analysis provides evidence that stock returns in a number of Asian countries are highly correlated and, based on the resulting robust factor loadings, they form the first well-defined common factor. The paper also finds consistent results (based on both the PC and ML methods) suggesting that the stock market returns of developed countries are also highly correlated, and constitute our second factor. Practical implications -The paper concludes that, inter alia, geographical proximity and the level of economic development do matter when it comes to co-movements of stock returns and that this has important implications for financial portfolio diversification if the aim is to reduce systematic risks across countries. Originality/value -Very few previous studies have investigated the benefits from portfolio diversification by using the PC and ML methods.

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International transmission of stock exchange volatility: Empirical evidence from the Asian crisis

Cited by 45 publications

References 25 publications

Robust outlier detection for Asia–Pacific stock index returns

Robust outlier detection for Asia–Pacific stock index returns

Market interdependence and financial volatility transmission in East Asia

A factor analysis of international portfolio diversification

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