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The Effects Of U.S. Unconventional Monetary Policy On Asian Stock Markets

Author

Listed:
  • CHIEN-CHIANG LEE

    (Research Center of the Central China for Economic and Social Development, Nanchang University, China School of Economics and Management, Nanchang University, China)

  • MEI-PING CHEN

    (Department of Accounting Information, National Taichung University of Science and Technology, Taichung, Taiwan)

  • CHUN-CHIE HUANG

    (Department of International Business Studies, National Chi-Nan University, Nantou, Taiwan)

Abstract

To assess the spillover effects of quantitative easing (QE) on return and volatility from the U.S. market to the selected Asian markets, this study applies dynamic correlation coefficient-generalized autoregressive conditional heteroscedasticity model to capture the time-varying nature of return and volatility spillovers during non-QE and QE periods of the sample countries. Furthermore, we incorporate the estimated time-varying correlation coefficients and country-specific factors to probe the determinants of the spillover. We find that the U.S. QE policies have significantly affected the correlations between the U.S. and some Asian countries, to which it performs significantly progressive decline in the correlations during the latest QE. Greater stock market liquidity remarkably increases their financial spillovers.

Suggested Citation

  • Chien-Chiang Lee & Mei-Ping Chen & Chun-Chie Huang, 2020. "The Effects Of U.S. Unconventional Monetary Policy On Asian Stock Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(04), pages 917-945, June.
    • Handle: RePEc:wsi:serxxx:v:65:y:2020:i:04:n:s0217590817500205
    DOI: 10.1142/S0217590817500205
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