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Correlation Dynamics in East Asian Financial Markets

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  • Lestano
  • Gerard H. Kuper

Abstract

We examine the dynamic relationship between stock returns and exchange rate changes using daily data from January 1994 to September 2013 for six East Asian countries. We use the multivariate GARCH-DCC model in order to disclose the relationship between stock markets and foreign exchange markets which is important for understanding financial stability. The estimation results reveal time varying correlations in the pre- and post-Asian crisis and the Global Financial Crisis periods for all countries. The correlations are stronger when the crisis intensifies. The degree of interdependence between both markets reflects a mutual markets response to shocks and changes in policy.

Suggested Citation

  • Lestano & Gerard H. Kuper, 2016. "Correlation Dynamics in East Asian Financial Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(2), pages 382-399, February.
    • Handle: RePEc:mes:emfitr:v:52:y:2016:i:2:p:382-399
    DOI: 10.1080/1540496X.2014.998560
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    Cited by:

    1. Boonlert Jitmaneeroj & John Ogwang, 2016. "An Empirical Analysis of Sovereign Credit Risk Co-movement between Japan and ASEAN Countries," Journal of Economics and Behavioral Studies, AMH International, vol. 8(4), pages 6-16.
    2. Roll, Oliver & Loh, Patrick, 2019. "Dynamic Pricing in der Kundenwahrnehmung," Marketing Review St.Gallen, Universität St.Gallen, Institut für Marketing und Customer Insight, vol. 36(5), pages 32-39.
    3. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
    4. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.

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