The Global Financial Crisis And The Integration Of Emerging Stock Markets In Asia

Download or read book The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia written by Sang Hoon Kang and published by . This book was released on 2013 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate GARCH model indicate strong volatility linkages between the Chinese stock market and the four emerging stock markets since the global financial crisis, suggesting the intensification of stock market integration in Asia since the crisis increases the integration of Chinese stock market in Asia. This strong integration of the markets is important in that the intensified linkages can reduce potential gains from the diversification of international equity portfolios.