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Market interdependence and financial volatility transmission in East Asia

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Author Info
Giampiero M. Gallo (Dipartimento di Statistica 'G. Parenti', Università di Firenze, Italy)
Margherita Velucchi (Dipartimento di Statistica 'G. Parenti', Università di Firenze, Italy)

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Abstract

In this paper, we adapt the Multiplicative Error Model (MEM) to analyze the interdependence of volatility across markets. The MEM specifies the dynamics of a volatility proxy (absolute returns) for one market including terms accounting for an asymmetric impact of good or bad news on the market, and possible volatility spillover terms from other markets. The specific empirical focus of the paper is on the interdependence structure of seven East Asian markets between 1990 and 2005. We pay specific attention to the stability of the significance of the links across markets on subperiods that consider or exclude the 1997 crisis and contrast results between earlier samples and more recent ones. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.382
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 14 (2009)
Issue (Month): 1 ()
Pages: 24-44
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:1:p:24-44

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  2. Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussão 400, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  3. Van Rijckeghem, Caroline & Weder, Beatrice, 2001. "Sources of contagion: is it finance or trade?," Journal of International Economics, Elsevier, vol. 54(2), pages 293-308, August. [Downloadable!] (restricted)
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  7. Taimur Baig & Ilan Goldfajn, 1999. "Financial Market Contagion in the Asian Crisis," IMF Staff Papers, Palgrave Macmillan Journals, vol. 46(2), pages 3. [Downloadable!] (restricted)
  8. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
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  10. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27. [Downloadable!] (restricted)
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  11. Fernandez-Izquierdo, Angeles & Lafuente, Juan Angel, 2004. "International transmission of stock exchange volatility: Empirical evidence from the Asian crisis," Global Finance Journal, Elsevier, vol. 15(2), pages 125-137, August. [Downloadable!] (restricted)
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