Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries

Kim, Bong-Han; Kim, Hyeongwoo; Lee, Bongsoo

doi:10.1016/j.iref.2015.04.005

Cited by 152 publications

(59 citation statements)

References 41 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The US financial crisis was one of the worst financial epidemics that the world had ever witnessed since the Great Depression of 1930. Undoubtedly, the financial crisis has had a severe impact on investors' sentiment and corporate performance, especially in the context of emerging Asian countries (Kim, Kim, & Lee, 2015). Based on this, the current study assumes that the post-crisis era can be used to gauge the influence it might have had on the Indian market.…”

Section: Introductionmentioning

confidence: 99%

Does Ownership Structure Affect Firm Performance in an Emerging Market? The Case of India

Panda

Bag

2019

AJBA

View full text Add to dashboard Cite

Manuscript type: Research paper Research aim: This study aims to examine the impact of ownership structure (ownership concentration and identities) on the financial and market performance of Indian listed firms, post the US financial crisis 2008. Design/Methodology/Approach: This study is based on a six-year financial dataset of 100 Bombay Stock Exchange (BSE) listed firms, from FY 2009-10 to FY 2014-15. The study applies the static panel data model (pooled OLS, fixed effect and random effect) and the dynamic panel data model (two-step generalised method of moments) for the hypotheses testing.

show abstract

Section: Introductionmentioning

confidence: 99%

Does Ownership Structure Affect Firm Performance in an Emerging Market? The Case of India

Panda

Bag

2019

AJBA

View full text Add to dashboard Cite

show abstract

“…Kim, Kim and Lee [14] found strong spillover effects in the Asian emerging markets occasionally causing US dollar liquidity problems. Kearney [15] and Agudelo, Giraldo and Villarraga [16] investigated the liquidity of these markets in detail.…”

Section: Datamentioning

confidence: 99%

The Efficiency in Liquidity Measures during the US Monetary Announcements

Vortelinos¹,

Γκίλλας²,

Konstantatos³

et al. 2018

TEL

View full text Add to dashboard Cite

We examine the impact of US economic news releases in the liquidity of eleven not so extensively researched emerging stock markets. We employ ten liquidity measures. The sample begins from June 2007 up to December 2016. Analysis is performed in a weekly frequency. China is the least liquid Asian market. Peru is the most liquid Latin American market. Most of the emerging markets are positively affected by the US news, offering diversification benefits to international investors. India and Argentina (China and Chile) are the Asian and Latin American countries with the highest (lowest) impacts, respectively. There is not a single best-in-class liquidity measure. The country with the lowest liquidity has the lowest impact from the US news releases. This result holds for both groups of countries in Asia and Latin America.

show abstract

“…Chiang (2007) applies the DCC-GARCH model to explore the spillover effect in 9 Asian markets, and indicated the significance of international sovereign credit-rating agencies. Kim (2011) used DCCX-GARCH model to explore the spillover effects of the recent US financial crisis on the emerging Asian markets. Walid (2011) proposed a novel MS-GARCH model to ascertain relationships between exchange market and stock market for 4 emerging countries/regions, Hong Kong, Singapore, Malaysia and Mexico.…”

Section: Literature Reviewmentioning

confidence: 99%

The Volatility Spillover effect between the T-Note Spot and Futures Markets: Evidence from China, Germany and United States

Zhao¹,

Song²

2017

Proceedings of the 3rd Annual 2017 International Conference on Management Science and Engineering (MSE 2017)

View full text Add to dashboard Cite

Abstract-This paper examines the volatility spillover effects in Treasury note markets, spot and futures markets, within and between three selected countries, China, Germany and United States. Two comprehensive explanatory methods, asymmetric BEKK MGARCH and asymmetric DCC MGARCH, are utilized to estimate interactions between markets and between countries. Compelling evidences show the presence of such volatility spillover effects between spot and futures markets for each targeted country. These spillover effects are also evident between the cross-border futures markets. However the existence of these effects are insignificant for spot markets between countries.Keywords-treasury note; spillover effect; asymmetric DCC MGARCH; asymmetric BEKK MGARCH

show abstract

Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries

Cited by 152 publications

References 41 publications

Does Ownership Structure Affect Firm Performance in an Emerging Market? The Case of India

Does Ownership Structure Affect Firm Performance in an Emerging Market? The Case of India

The Efficiency in Liquidity Measures during the US Monetary Announcements

The Volatility Spillover effect between the T-Note Spot and Futures Markets: Evidence from China, Germany and United States

Contact Info

Product

Resources

About