IDEAS home Printed from https://ideas.repec.org/a/ris/iosalg/0060.html
   My bibliography  Save this article

Impact of global financial crisis on network of Asian stock markets

Author

Listed:
  • Aswani, Jitendra

    (Gabelli School of Business, Fordham University)

Abstract

This study examines the network dynamics of fourteen Asian Stock Markets (ASMs) in three phases (pre, during, and post) of financial crisis of 2008. Based on network statistics, I find that ASMs network is more interconnected during the crisis period than pre-and post-crisis period. Furthermore, using the Minimum Spanning Tree (MST) diagram, I find that the stock markets of Hong Kong, Japan, Korea, and India play a significant role in these networks and any shock to these markets can lead to contagion. The trade and the interest rate differential are the major driving forces behind these linkages. This work has practical implications as it provides insight on portfolio diversification during the crisis period and can also be used in anticipating the route of crisis.

Suggested Citation

  • Aswani, Jitendra, 2017. "Impact of global financial crisis on network of Asian stock markets," Algorithmic Finance, IOS Press, vol. 6(3-4), pages 79-91.
    • Handle: RePEc:ris:iosalg:0060
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kumari, Vineeta & Kumar, Gaurav & Pandey, Dharen Kumar, 2023. "Are the European Union stock markets vulnerable to the Russia–Ukraine war?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    2. Ekaterina E. Emm & Gerald D. Gay & Han Ma & Honglin Ren, 2022. "Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 823-851, May.
    3. Caporale, Guglielmo Maria & You, Kefei & Chen, Lei, 2019. "Global and regional stock market integration in Asia: A panel convergence approach," International Review of Financial Analysis, Elsevier, vol. 65(C).

    More about this item

    Keywords

    Financial crisis; stock markets; networks; Minimum Spanning Tree (MST);
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:iosalg:0060. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Saskia van Wijngaarden (email available below). General contact details of provider: http://www.iospress.nl/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.