Research Commons
      • Browse 
        • Communities & Collections
        • Titles
        • Authors
        • By Issue Date
        • Subjects
        • Types
        • Series
      • Help 
        • About
        • Collection Policy
        • OA Mandate Guidelines
        • Guidelines FAQ
        • Contact Us
      • My Account 
        • Sign In
        • Register
      View Item 
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil

      Yiu, Matthew S.; Ho, Wai-Yip Alex; Choi, Daniel F.S.
      DOI
       10.1080/09603100903494946
      Link
       www.informaworld.com
      Find in your library  
      Citation
      Export citation
      Yiu, M.S., Ho, W.-Y.A. & Choi, D.F.S. (2010). Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil. Applied Financial Economics, 20(4), 345-354.
      Permanent Research Commons link: https://hdl.handle.net/10289/3987
      Abstract
      This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to early 2009. We employ the asymmetric Dynamic Conditional Correlation (DCC) model to estimate the correlation between this Asian factor and the US stock market. We find that there is a mean shift in the estimated DCC in the period from late of 2007. We refer this finding as contagion from the US to the Asian markets. However, we find no such evidence of having contagion between the US and individual markets in Asia during the Asian financial crisis.
      Date
      2010
      Type
      Journal Article
      Publisher
      Taylor and Francis
      Collections
      • Management Papers [1125]
      Show full item record  

      Usage

       
       
       

      Usage Statistics

      For this itemFor all of Research Commons

      The University of Waikato - Te Whare Wānanga o WaikatoFeedback and RequestsCopyright and Legal Statement