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- W30273265 abstract "This paper investigates volatility and mean spillover effects from the US and the Chinese stock markets into individual ASEAN stock markets using a GARCH spillover model. I find strong statistical evidence for both the mean-spillover and the volatility-spillover effects from the US into the individual ASEAN markets. The Chinese volatility-spillover effects are less essential to the individual ASEAN markets, but appear to generally increase over time. The Chinese volatility-spillover intensity is found to be strengthened after China entered WTO. The Chinese mean-spillover effects appear to be almost negligible. Pure local volatility effects are substantial, especially for the emerging markets. Subsequently, the evidence is found for the existence of asymmetric responses of ASEAN markets to upturns and downturns as well as positive shocks and negative shocks in the US and the Chinese stock markets. Finally, all the spillover effects are not necessarily dependent on the economic variables, i.e. exchange rate changes and the ratio of trade to GDP, but the exchange rate changes are able to explain the Chinese volatility-spillover intensities in the majority of the ASEAN markets." @default.
- W30273265 created "2016-06-24" @default.
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- W30273265 date "2008-01-01" @default.
- W30273265 modified "2023-09-27" @default.
- W30273265 title "Volatility and Mean Spillover from US and China to ASEAN" @default.
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