The US crisis and the volatility spillover across South East Asia stock markets

Ahmed Shamiri, Zaidi Isa

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

In this paper we examine the international transmission of financial crises. In particular, the consequences of the recent US crisis on South East Asia major stock markets. We use a bivariate GARCH model, for which a BEKK representation is adopted. We find evidence of volatility spillovers from US to all South East Asia; however the degree of volatility persistence and reversion differs across countries. For international investors to get profits from the returns of South East Asia securities, it is necessary to pay attention to the US market directly. Moreover, Singapore, Korea and Hong Kong are among the most South East Asia markets vulnerable to shocks generated from US investors due to the large ratio of portfolio holding.

Original languageEnglish
Pages (from-to)7-17
Number of pages11
JournalInternational Research Journal of Finance and Economics
Volume34
Publication statusPublished - Dec 2009

Fingerprint

Stock market
South-East Asia
Volatility spillover
Investors
Volatility persistence
Profit
GARCH model
International transmission
Korea
Hong Kong
Singapore
Financial crisis
Bivariate GARCH

Keywords

  • Bekk-Garch
  • Portfolio holding
  • Volatility spillovers

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

The US crisis and the volatility spillover across South East Asia stock markets. / Shamiri, Ahmed; Isa, Zaidi.

In: International Research Journal of Finance and Economics, Vol. 34, 12.2009, p. 7-17.

Research output: Contribution to journalArticle

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