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
Show allCollapse