SPILLOVER EFFECTS OF THE SUB-PRIME MORTGAGE CRISIS TO THE ASIAN STOCK MARKETS  

Oleh:

Lestari, Esta

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI - non-atma jaya
Dalam koleksi: Economic Journal of Emerging Markets vol. 4 no. 2 (Oct. 2012), page 181 -194.
Topik: Stock market; sub-prime mortgage crisis; volatility; spillover effect; Pasar saham; krisis sub-prime mortgage; volatilitas; pengaruh spillover
Fulltext: 3320-4286-1-PB.pdf (428.48KB)

Isi artikel

This paper aims to analyze the effects of the sub-prime mortgage crisis on several Asian stock markets. An Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model is employed to provide an empirical evidence of the direct spillover. The indirect effect is measured through the spillover effects from the increased volatility in the U.S. stock markets to the Asian stock markets. The results showed that the market integration occurs within Asian stock markets. Meanwhile the asymmetric effects are evident for all the Asian countries stock markets, indicating that financial markets in Asia are suffered more from negative news (shocks) lead to more volatilities compared to positive news.

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