Transmission of the Global Financial Crisis to the East Asian Equity Markets

Tran, Phuong Thao; Daly, Kevin; Ellis, Craig

doi:10.5539/ijef.v5n5p171

Cited by 4 publications

(2 citation statements)

References 37 publications

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“…Although there is a little doubt about the advantages of international economic integration, a few recent years have shown in practice the other side of the coin. In 2007 the crisis, which initially affected the financial system of the United States, shortly spread all over the world and stimulated the economic recession, with both business and ordinary citizens suffering from its consequences (Thao et al 2013;Kowalski 2012). In many countries the financial crisis caused a rapid decrease in tax revenues, while austerity measures in fiscal policy (raising taxes and cutting public spending) applied by governments even deepened the economic problems (Adam, Iacob 2012).…”

Section: Introductionmentioning

confidence: 99%

Complex Evaluation of the Economic Crisis Impact on Lithuanian Industries

Krivka

2014

Journal of Business Economics and Management

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The paper analyses the impact of the economic crisis of 2008 on Lithuanian industries. The research involves 68 industries identified according to the 2nd-digit level classification of economic activities by Statistics Lithuania. Considering industry to be a complex phenomenon, the crisis effect is evaluated complexly on the basis of the system of 10 financial state and performance indicators belonging to four main groups of enterprise financial ratios: profitability, liquidity, solvency and asset turnover. SAW, TOPSIS and VIKOR multi-criteria decision making methods, widely applied in construction, economics and management, are selected as mathematical tools for quantitative assessment of the economic crisis effect on Lithuanian industries. By applying multi-criteria decision making methods relative positions (ranks) of industries are determined for every year of the period of 2006–2011. The ranks and their changes are further analysed distinguishing pre-crisis, crisis, and post-crisis periods, determining the industries most and least affected by the economic crisis; also, the industries characterised by the fastest and the slowest after-crisis recovery.

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Section: Introductionmentioning

confidence: 99%

Complex Evaluation of the Economic Crisis Impact on Lithuanian Industries

Krivka

2014

Journal of Business Economics and Management

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“…Kuper and Lestano (2007) use dynamic conditional correlation to examine the dynamic linkages among financial markets in Thailand and Indonesia. Thao et al (2013) employed the constant conditional correlation (CCC) and the dynamic conditional correlation (DCC). They found that almost all the East Asian markets revealed higher correlations to other markets in the region than the United States, even during the crisis period.…”

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confidence: 99%

Long and Short-term Volatility Comovements in the East Asian Stock

Yang

Lee

Yeo

2017

AEF

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This study analyzed volatility comovement and contagion in the stock markets of four countries (China, Japan, Korea, and Taiwan) in East Asia, which are closely connected with each other geographically and economically in terms of short-term and long-term perspectives. The volatility of stock returns has complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers. This study reviewed the volatility comovement and contagion in a stock market from long-term and short-term perspectives with the Bivariate Markov Switching Multifractal (BMSM) volatility model that is known for explaining such characteristics well, in spite of using small number of parameters. The empirical analysis results are as follows: China has no significant correlation with the other three countries. Therefore, China stock market is regarded as isolated or segmented market. The influence of the financial crisis on East Asian countries varies depending on the country. Regardless of the starting point of the crisis, Korea and Taiwan are shown to be vulnerable to external impact, compared to China and Japan. From the perspective of the nature of crisis, financial crisis that occurred in 1997 in East Asia and South Europe in 2011 were identified as local shocks as they had an impact on only a few countries, while the global crisis in 2008 was identified as global shock because it caused significant short-term and/or mid and long-term volatility of all countries.

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The transmission from equity markets to commodity markets in crises periods

Tzeng

Shieh

2016

Applied Economics

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Transmission of the Global Financial Crisis to the East Asian Equity Markets

Cited by 4 publications

References 37 publications

Complex Evaluation of the Economic Crisis Impact on Lithuanian Industries

Complex Evaluation of the Economic Crisis Impact on Lithuanian Industries

Long and Short-term Volatility Comovements in the East Asian Stock

The transmission from equity markets to commodity markets in crises periods

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