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

Abstract 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 measur...

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Bibliographic Details
Published in:Economic journal of emerging markets 2012-01, Vol.4 (2), p.173
Main Author: Lestari, Esta
Format: Article
Language:English
Subjects:
Economic crisis
Economic models
Emerging markets
Mortgages
Securities markets
Stock exchanges
Subprime lending
Volatility
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Summary:Abstract 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.
ISSN:2086-3128
2502-180X