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Dynamic Correlation Analysis of Asian Stock Markets

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  • Jae-Kwang Hwang

Abstract

This paper examines the stock market linkages within the Asia-Pacific region and between Asian markets and the U.S. market over the period of January 2000 to June 2010, employing the dynamic conditional correlation GARCH model. Our results show that there exist very high correlations among the stock markets during the 2008 financial crisis. Therefore, consistent with the finding in literature, there are no diversification benefits during the financial crisis. However, our results show that there are still substantial opportunities for global investors to improve the risk-return performance between China and other markets during the sample period. In addition, we find evidence that the U.S. market significantly affects the stock markets in the Asia-Pacific region. Using T-GARCH model, there is a strong evidence of an asymmetric effect on conditional variance except stock markets in China and Malaysia. Copyright International Atlantic Economic Society 2012

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  • Jae-Kwang Hwang, 2012. "Dynamic Correlation Analysis of Asian Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(2), pages 227-237, May.
    • Handle: RePEc:kap:iaecre:v:18:y:2012:i:2:p:227-237:10.1007/s11294-012-9343-6
    DOI: 10.1007/s11294-012-9343-6
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    Cited by:

    1. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    2. Mori Kogid & Jaratin Lily & Rozilee Asid & James M. Alin & Dullah Mulok, 2022. "Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(1), pages 131-148, February.
    3. Neha Seth & Laxmidhar Panda, 2020. "Time-varying Correlation Between Indian Equity Market and Selected Asian and US Stock Markets," Global Business Review, International Management Institute, vol. 21(6), pages 1354-1375, December.

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    More about this item

    Keywords

    Stock market correlation; DCC model; T-GARCH; The 2008 financial crisis; G15;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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