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    The Correlations of the Equity Markets in Asia and the Impact of Capital Flow Management Measures

    Chantapacdepong, Pornpinun | July 2017
    Abstract
    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.
    Citation
    Chantapacdepong, Pornpinun. 2017. The Correlations of the Equity Markets in Asia and the Impact of Capital Flow Management Measures. © Asian Development Bank Institute. http://hdl.handle.net/11540/7628.
    Keywords
    ADB
    Project finance
    Development plans
    Strategic planning
    Business Financing
    Investment Requirements
    Insurance Companies
    International Monetary Relations
    International Financial Market
    Exchange Rate
    Development
    Finance
    Development Challenges
    Development Issues
    Development Problems
    Microenterprises Finance
    Commercial Finance Companies
    Enterprise Financing
    Insurers
    Insurance stocks
    Insurance holding companies
    Insurance carriers
    Insurance agencies
    Business subsidies
    Investment companies
    Foreign investment
    Equity Finance
    International banks and banking
    Stock exchanges
    Grants
    Loans
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    Citable URI
    http://hdl.handle.net/11540/7628
    Metadata
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    adbi-wp766.pdf (1.006Mb)
    Author
    Chantapacdepong, Pornpinun
    Theme
    Development
    Finance
     
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise