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Dynamic Connectedness of Asian Equity Markets
Roberto Guimarães-Filho, Gee Hee Hong 2016-04-19
Abstract
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.
이전글 | China faced with the proliferation of the terrorist phenomenon in Africa | 2016-04-19 |
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다음글 | 2015 중화권 김치시장 심층조사자료 | 2016-04-18 |