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Changing vulnerability in Asia: contagion and spillovers

Citation

Kangogo, M and Dungey, M and Volkov, V, Changing vulnerability in Asia: contagion and spillovers, Empirical Economics ISSN 0377-7332 (2022) [Refereed Article]


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Copyright 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/

DOI: doi:10.1007/s00181-022-02322-5

Abstract

An 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.

Item Details

Item Type:Refereed Article
Keywords:Asian markets, financial stability, financial networks, financial crises, spillover and contagion
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, finance and investment
Research Field:Finance
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Kangogo, M (Dr Moses Kangogo)
UTAS Author:Dungey, M (Professor Mardi Dungey)
UTAS Author:Volkov, V (Mr Vladimir Volkov)
ID Code:154182
Year Published:2022
Deposited By:Finance
Deposited On:2022-11-07
Last Modified:2022-12-06
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