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- W4241290216 abstract "The subprime mortgage crisis in the United States (U.S.) in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study." @default.
- W4241290216 created "2022-05-12" @default.
- W4241290216 creator A5065509073 @default.
- W4241290216 date "2020-02-14" @default.
- W4241290216 modified "2023-09-29" @default.
- W4241290216 title "The effects from the United States and Japan to emerging stock markets in Asia and Vietnam" @default.
- W4241290216 doi "https://doi.org/10.31219/osf.io/8kab7" @default.
- W4241290216 hasPublicationYear "2020" @default.
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