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A spatial–temporal analysis of East Asian equity market linkages

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  • Tam, Pui Sun

Abstract

This paper examines East Asian equity market linkages in and out of the Asian and global financial crises using a novel econometric approach. The market dependence structure and shock transmission mechanism are explored spatially in the time domain, thus offering new insights into the dynamic regional market linkage patterns. Results show that East Asian equity markets are characterized by linkages through significant spatial effects, crises are conducive to increased cross-border linkages especially in the case of China, and Japan is a dominant driver of market linkages in the region.

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  • Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
    • Handle: RePEc:eee:jcecon:v:42:y:2014:i:2:p:304-327
    DOI: 10.1016/j.jce.2014.03.008
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    6. Rudkin, Simon & Wong, Sen Min, 2015. "South East Asian Financial Linkages and the Changing Role of China: Insights from a Global VAR," MPRA Paper 65001, University Library of Munich, Germany.
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    8. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
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    More about this item

    Keywords

    East Asia; Equity market linkages; Financial crisis; Spatial dependence;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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