Dynamic Connectedness of Asian Equity Markets
Dynamic Connectedness of Asian Equity Markets
复制标题
亚洲股票市场的动态联系
DOI：
10.5089/9781513572451.001.a001
复制
发表时间：
2016
期刊：
影响因子：
--
通讯作者：
G. Hong
中科院分区：
文献类型：
--
作者：
Roberto F. Guimaraes;G. Hong
对于政策制定者和市场参与者来说，了解市场如何联系以及冲击如何传播是一个重要问题。在本文中，我们研究了亚洲股票市场在该地区内以及相对于其他主要全球市场的连通性。使用时变连通性度量，我们解决了以下问题：（1）资产回报和波动性的连通性如何随时间变化？危机期间市场的联系是否会变得更加紧密？ (2) 哪些市场是冲击的主要来源和主要接受者？净冲击提供者和冲击接收者（随着时间的推移的方向连通性）是否发生了变化？最后，我们调查了自 2015 年 8 月以来中国股市与其他国家股市之间的关联性，以突显新兴市场经济体（尤其是中国）作为冲击源日益增长的重要性。
Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-a-vis other major global markets. Using time-varying connectedness measures, we address the following questions: (1) How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods? (2) Which markets are major sources and major recipients of shocks? Has there been a shift in terms of the net shock givers and shock receivers (directional connectedness over time)? Finally, we investigate the connectedness between China's equity markets and other countries' equity markets since August 2015 to highlight the growing importance of emerging market economies, particularly China, as sources of shocks.