Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis

Lien, Donald; Lee, Geul; Yang, Li; Zhang, Yuyin

doi:10.1016/j.najef.2018.04.006

Cited by 43 publications

(27 citation statements)

References 45 publications

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“…Sui and Sun (2016) investigate the dynamic relationships among stock price returns, exchange rate returns, interest differentials, and the U.S. S&P 500 returns in BRICS (Brazil, Russian Federation, India, China, and South Africa) countries. There is a number of studies on volatility spillovers between stock price returns in Malaysia or between Malaysia and other country (Ahmeda & Elsayed, 2018;Balli, Hajhoj, Basherd, & Ghassan, 2015;Liena, Lee, Yang, & Zhang, 2018;Majdoub & Sassi, 2017;Majdouba & Mansour, 2014). The results show the significant spillover effects from exchange rate returns to stock price returns in the short run and not vice versa.…”

Section: Literature Reviewmentioning

confidence: 90%

“…Moreover, the spillover effects are stronger between exchange rate returns and stock price returns in the global financial crisis, 2008. There is a number of studies on volatility spillovers between stock price returns in Malaysia or between Malaysia and other country (Ahmeda & Elsayed, 2018;Balli, Hajhoj, Basherd, & Ghassan, 2015;Liena, Lee, Yang, & Zhang, 2018;Majdoub & Sassi, 2017;Majdouba & Mansour, 2014). Majdoub and Sassi (2017) report that Islamic stock price volatility spillover between Chinese and Malaysia stock price is highly correlated in the short run and long run.…”

Section: Literature Reviewmentioning

confidence: 99%

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Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Wong

2018

Int. J Fin Econ

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This study analyses volatility spillovers between real exchange rate returns and real stock price returns in Malaysia. The component‐generalized autoregressive conditional heteroskedasticity model with asymmetric effect is used to decompose volatility into permanent or long‐run component and transitory or short‐run component. Permanent and transitory components of volatility are commonly high in the global financial crisis, 2008. The results of the seemingly unrelated regressions framework show that volatility spillovers of permanent component between real exchange rate returns and real stock price returns are stronger than volatility spillovers of transitory component between real exchange rate returns and real stock price returns. Moreover, volatility spillovers of permanent and transitory components between real Malaysian ringgit against the U.S. dollar return and real stock price returns are stronger than real Malaysian ringgit against the Japanese yen exchange rate return and real stock price returns. There is some evidence of Granger causality between real exchange rate returns and real stock price returns. On the whole, there is some evidence of the link between the exchange rate market and the stock market in Malaysia.

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Section: Literature Reviewmentioning

confidence: 90%

Section: Literature Reviewmentioning

confidence: 99%

Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Wong

2018

Int. J Fin Econ

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“…The Diebold-Yilmaz index measures the proportion of the h-step ahead of forecast error of one's own volatility that can be attributed to shocks emanating from other markets, meaning that we can draw the conclusion of volatility based on the value of the spillover index. Additionally, a number of volatility spillover studies have also applied diversified forms of the copula approach in currency dependence modelling (e.g., Aloui, Aïssa, & Nguyen, 2013;Lien et al, 2018;Okimoto, 2008;Patton, 2006).…”

Section: Review Of Related Literaturementioning

confidence: 99%

“…Specifically, the financial and economic turbulence in 2007 had attracted attention in understanding the nature of information spillover among financial markets (Bubák, Kočenda, & Žikeš, 2011). A structural change in the international transmission mechanism is associated with contagion; market contagion is able to step away from financial crises because it affects the portfolio rebalancing decisions of global investors, the investment of overseas companies, the financial policy of the country and institutional similarity to the ground-zero country (Lien, Lee, Yang, & Zhang, 2018). Motivated by the impact of the 2007 financial crises, this article studies the dynamics of price transmission and volatility spillovers to, from and among Central and Eastern European countries (CEEs-5), namely, the Czech Republic, Hungarian, Polish, Romanian and Croatian currencies, against the USD in the period 2000-2017.…”

Section: Introductionmentioning

confidence: 99%

Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model

Hung

2018

Global Business Review

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This article attempts to examine the changing nature of volatility spillovers among foreign exchange markets of select Central and Eastern European countries (CEEs-5), namely, Hungary, the Czech Republic, Croatia, Romania and Poland in the pre- and post-2007 financial crisis period. Daily data ranging from April 2000 to September 2017 are used for the purpose of analysis. In order to capture volatility transmission and its asymmetry, the multivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is utilized to catch the effect of good and bad news. The key findings of the study provide useful insights into how information is transmitted and disseminated across CEEs-5 foreign exchange markets. In particular, the estimation presents the precise measures of return spillovers and volatility spillovers. The analysis highlights that the foreign exchange markets become more independent after crises. Similarly, in such time, the volatility spillover among the foreign exchange markets decreases dramatically and financial markets have not been transmitted during the crisis period. Also, we find that positive shocks generate more volatility spillovers than negative shocks of the same magnitude. The asymmetric spillover effect is evident for price shocks originating from CEEs-5 foreign exchange markets. Further, our findings have essential portfolio management implications for international investors and policymakers.

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“…Several studies have analyzed US economic and financial linkages with other countries during the GFC period. Some studies analyze the impact of US monetary policy decisions on various financial markets (Chen, Filardo, He & Zhu, 2016;Georgiadis, 2016;Yan, Phylaktis & Fuertes, 2016;Lien, Lee, Yang & Zhang, 2018;Yunus, 2018;Kang, Kim & Suh, 2019); effects of oil prices on the US stock markets (Fang, Chen & Xiong, 2018;Basher, Haug & Sadorsky, 2018) and the relationship among the US stock markets and European stock markets (Panda & Nanda, 2017;Golab, Jie, Powell & Zamojska, 2018).…”

Section: Recent Related Literaturementioning

confidence: 99%

International Financial US Linkages: Networks Theory and MS-VAR Analyses

Sosa

Ortíz

Cabello

2019

REMEF

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This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a sample of 13 developed countries and 6 emerging Latin American countries. Additionally, using daily data from 2003 to 2015, the dynamics of returns are analyzed to test whether the US market influenced these markets or vice versa; univariate (MS-AR) and multivariate (MS-VAR) regime-switching models are used. The evidence confirms the presence of two different regimes, low volatility and a high volatility for all markets. Findings suggest strengthening local productive and financial institutions in order to anchor FPI. The MS-(V)AR study is limited to stock markets from the Americas and Europe. Previous literature has not applied the innovative and complementary methodologies employed here to analyze financial crisis impacts on FPI flows. We conclude that US financial markets keep a close financial relationship with the most important European and American countries’ stock markets, both by receiving and delivering FPI, and in addition influencing the behavior of stock indexes.

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Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis

Cited by 43 publications

References 45 publications

Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia

Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model

International Financial US Linkages: Networks Theory and MS-VAR Analyses

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