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Dynamic Interconnectedness And Risk Contagion Among Asian Financial Markets

Author

Listed:
  • KINGSLEY E. DOGAH

    (International Business School Suzhou, Xi’an Jiaotong-Liverpool University, Suzhou, China)

  • GAMINI PREMARATNE

    (��School of Business & Economics, Universiti Brunei Darussalam, Gadong BE1410, Brunei)

Abstract

This study investigates dynamic interconnectedness, spillover transmissions and risk contagion through the lens of intraday and overnight returns to ascertain whether intraday and overnight trading information (returns) have idiosyncratic effects on risk behavior of financial markets. The study employs the generalized VAR-based spillover measure, graph theory and Bayesian causality network (BN) models. Our results reveal that spillover propagation from the US market is mainly through the intraday return series to Asian markets, whereas the overnight series is mainly a recipient of spillovers. Furthermore, in terms of risk contagion, the result identifies the most systemically central financial markets (SCFMs) as Singapore, Hong Kong, Korea and Taiwan. In particular, the findings demonstrate that while Singapore maintains the role as the most systemically central markets in large part, other markets occasionally took the leading role as most central markets. Overall, the findings provide important practical implications for market regulators and investors to monitor the channels of trading information and the performance of SCFMs for better risk management and strategic investment decisions.

Suggested Citation

  • Kingsley E. Dogah & Gamini Premaratne, 2024. "Dynamic Interconnectedness And Risk Contagion Among Asian Financial Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(08), pages 2475-2520, December.
  • Handle: RePEc:wsi:serxxx:v:69:y:2024:i:08:n:s021759082050071x
    DOI: 10.1142/S021759082050071X
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    More about this item

    Keywords

    Interconnectedness; risk contagion; systemically important financial markets; spillovers; Asia;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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