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Identifying Interdependencies Between South‐East Asian Stock Markets: A Non‐Linear Approach

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  • ÓLAN T. HENRY
  • NILSS OLEKALNS
  • RAJITH W.D. LAKSHMAN

Abstract

This paper considers the question of how shocks to returns are transmitted across South‐East Asian equity markets. Using a reasonably general statistical model our results suggest that a negative‐return innovation leads to higher levels of domestic volatility than a positive innovation of equal magnitude. There is strong evidence that returns shocks are transmitted across markets, impacting not only on prices, but also on volatility. Any shock, positive or negative, serves to raise volatility.

Suggested Citation

  • Ólan T. Henry & Nilss Olekalns & Rajith W.D. Lakshman, 2007. "Identifying Interdependencies Between South‐East Asian Stock Markets: A Non‐Linear Approach," Australian Economic Papers, Wiley Blackwell, vol. 46(2), pages 122-135, June.
    • Handle: RePEc:bla:ausecp:v:46:y:2007:i:2:p:122-135
    DOI: 10.1111/j.1467-8454.2007.00309.x
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    Cited by:

    1. Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
    2. You-How Go & Wee-Yeap Lau, 2019. "Palm oil spot-futures relation: Evidence from unrefined and refined products," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(3), pages 133-142.
    3. You-How Go & Wee-Yeap Lau, 2017. "The Relationship of Crude Palm Oil Spot-Futures under Inflationary Expectation in Gold Market," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 43-62.
    4. Mihir Dash, 2015. "A Study of Granger Causality in Asian Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(3), pages 145-150.
    5. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
    6. Wee-Yeap Lau & You-How Go, 2018. "Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(2), pages 137-157, June.

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