Arbeitspapier

The correlations of the equity markets in Asia and the impact of capital flow management measures

This paper examines the international transmission of volatility in the stock markets of countries in emerging Asian economies (EAEs). The time period of the study is from before the Asian financial crisis until after the global financial crisis. Over two decades the degree of volatility interdependence of equity markets among Asian economies has been increasing. There has been stronger financial integration during calm periods, which could intensify the contagion effects across markets during turbulent times. The equity markets of the EAEs exhibit stronger correlations during the global financial crisis, confirming the existence of contagion and the intensification of systemic risk. The introduction of capital flow management (CFM) measures is associated with a reduction in the volatility dependence within the region.

Sprache
Englisch

Erschienen in
Series: ADBI Working Paper ; No. 766

Klassifikation
Wirtschaft
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Financial Markets and the Macroeconomy
Current Account Adjustment; Short-term Capital Movements
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
Thema
Economics

Ereignis
Geistige Schöpfung
(wer)
Chantapacdepong, Pornpinun
Ereignis
Veröffentlichung
(wer)
Asian Development Bank Institute (ADBI)
(wo)
Tokyo
(wann)
2017

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Chantapacdepong, Pornpinun
  • Asian Development Bank Institute (ADBI)

Entstanden

  • 2017

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