The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets
Abstract:This study examines the reaction of Southeast Asian equity markets to the transmission of price innovations from major equity markets during the pre and post periods of the 2008 global financial crisis. In particular, we examine the reaction of returns indices in Malaysia, the Philippines, South Korea, Taiwan, and Thailand as endogenous variables, and compare them to the returns indices of the U.S., the Eurozone, Japan, and China as exogenous variables. The results of VAR models indicate the combined and indiv… Show more
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