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• W2000628147 abstract "This paper examines volatility transmission and conditional correlations behaviour between the US and the Asian stock markets considering the effect of the Global Financial crisis. One Asian mature market and ten emerging markets are included in the sample. To carry out the analysis, we use a multivariate asymmetric GARCH model. Results show that there exists volatility transmission between the US and the Asian markets. Moreover, it is found that, after the crisis, volatility transmission patterns have barely changed. Finally, results suggest that the lower the country‘s level of development, the lower the correlation with the US." @default.
• W2000628147 created "2016-06-24" @default.
• W2000628147 creator A5036625748 @default.
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• W2000628147 date "2011-01-01" @default.
• W2000628147 modified "2023-10-18" @default.
• W2000628147 title "Volatility Transmission and Correlation Analysis between the US and Asia: The Impact of the Global Financial Crisis" @default.
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• W2000628147 doi "https://doi.org/10.2139/ssrn.1740446" @default.
• W2000628147 hasPublicationYear "2011" @default.
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