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Impact of the Global Financial Crisis on Volatility Spillover between U.S. and Asia-Pacific Stock Markets
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Type
Academic journal
Author
Kang Sang Hoon (부산대학교) YoonSeong-Min (부산대학교)
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제19권 제3호 KCI Accredited Journals
Published
2017.6
Pages
1,187 - 1,195 (9page)
DOI
https://doi.org/10.37727/jkdas.2017.19.3.1187

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Impact of the Global Financial Crisis on Volatility Spillover between U.S. and Asia-Pacific Stock Markets
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Abstract· Keywords

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We examined the impact of the global financial crisis (GFC) on volatility spillover between the stock market in the United States and those markets in seven Asia-Pacific countries: Australia, China, Hong Kong, Japan, Korea, Singapore, and Taiwan. We used the daily closing spot price of the Morgan Stanley capital index (MSCI) of these markets, and the multivariate fractionally integrated asymmetric power autoregressive conditional heteroskedasticity (FIAPARCH)-dynamic conditional correlation (DCC) model as the measure of spillover, considering long memory and asymmetry as features of volatility. Our empirical results provide strong evidence of asymmetry and long memory in the conditional volatility of, and significant dynamic correlations between, the U.S. and Asia-Pacific stock markets. Moreover, we compared the optimal portfolio weights and time-varying hedge ratios before and after the GFC, and concluded that portfolio investors paid more hedge costs after the GFC.
#Global financial crisis #Optimal portfolio weight #Structural breaks #Time-varying hedge ratio #Volatility spillover.

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References (18)

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Chkili, W. / 2014 / Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter? / Journal of International Financial Markets, Institutions and Money 33:354~366 google schola Dimitriou, D. / 2013 / Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach / International Review of Financial Analysis 30:46~56 google schola Dimpfl, T. / 2012 / Financial market spillovers around the globe / Applied Financial Economics 22(1):45~57 google schola Engle, R. F. / 2002 / Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models / Journal of Business & Economic Statistics 20(3):339~350 google schola Ewing, B. T. / 2013 / Volatility transmission between gold and oil futures under structural breaks / International Review of Economics & Finance 25:113~121 google schola

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