IMF Working Papers

Dynamic Connectedness of Asian Equity Markets

By Roberto Guimarães-Filho, Gee Hee Hong

March 9, 2016

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Roberto Guimarães-Filho, and Gee Hee Hong. Dynamic Connectedness of Asian Equity Markets, (USA: International Monetary Fund, 2016) accessed November 23, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets. Using time-varying connectedness measures, we address the following questions: (1) How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods? (2) Which markets are major sources and major recipients of shocks? Has there been a shift in terms of the net shock givers and shock receivers (directional connectedness over time)? Finally, we investigate the connectedness between China’s equity markets and other countries’ equity markets since August 2015 to highlight the growing importance of emerging market economies, particularly China, as sources of shocks.

Subject: Emerging and frontier financial markets, Financial crises, Financial institutions, Financial integration, Financial markets, Global financial crisis of 2008-2009, Stock markets, Stocks

Keywords: Asia and Pacific, Asia financial integration, China's economy, China's equity market movement, China's equity markets, Consumer goods, Emerging and frontier financial markets, Equity market boom, Equity market spillover, Equity markets return, Equity price, Equity return, Financial integration, Financial linkages, Financial spillovers, Global, Global financial crisis of 2008-2009, Market monitoring, Spillovers from China, Spillovers from China to Hong Kong, Stock market, Stock market volatility, Stock markets, Stocks, Vector autoregression, WP

Publication Details

  • Pages:

    36

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2016/057

  • Stock No:

    WPIEA2016057

  • ISBN:

    9781513572451

  • ISSN:

    1018-5941

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