154182 - Changing vulnerability in Asia.pdf (2.39 MB)
Changing vulnerability in Asia: contagion and spillovers
journal contribution
posted on 2023-05-21, 14:48 authored by Moses KangogoMoses Kangogo, Dungey, M, Vladimir VolkovVladimir VolkovAn increasing involvement of the Asian market in the global context plays a fundamental role in spreading shocks across the financial system. This paper examines the extent of vulnerability across Asian equity markets and the United States (US) equity market by distinguishing between spillovers and contagion. Spillovers are detected using a generalised historical decomposition method, while contagion is identified using a portfolio mimicking factor framework using moment conditions. The transmission of spillovers is assessed to capture the direction, strength and signs of the spillovers. The findings show evidence of changing vulnerability in Asia and the US. This is as a result of increased spillovers during crisis events and the presence of contagion. Stronger connections during crisis periods are evident as well as a general deepening of the global network. These connections may result in reduced opportunities for emerging markets. The findings suggest that caution is needed when developing regulations or methods to create a stable financial system.
History
Publication title
Empirical EconomicsISSN
0377-7332Department/School
TSBEPublisher
SpringerPlace of publication
GermanyRights statement
© 2022 The Author(s) Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License,(CC BY 4.0) https://creativecommons.org/licenses/by/4.0/Repository Status
- Open