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Volatility and Causality in Asia Pacific Financial Markets

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  • Enzo Weber

Abstract

The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows the identification of the contemporaneous effects between the variables. Structural VARs or VECMs can therefore give answers to questions of exchange rate stabilisation, monetary policy behaviour or equity market reagibility. Additionally, a correlation analysis of the identified innovations reveals the degree of coherence in the Asian Pacific region.

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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-004.

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Length: 33 pages
Date of creation: Jan 2007
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2007-004

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Keywords: Structural EGARCH; Financial Markets; Asia Pacific;

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  7. Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
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  12. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2000. "Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity," Discussion Papers in Economics 00/11, Department of Economics, University of Leicester, revised Feb 2002.
  13. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 0529, European Central Bank.
  14. Roberto Rigobon & Brian Sack, 2003. "Spillovers across U.S. financial markets," Finance and Economics Discussion Series 2003-13, Board of Governors of the Federal Reserve System (U.S.).
  15. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Weber, Enzo, 2007. "Who Leads Financial Markets?," MPRA Paper 5099, University Library of Munich, Germany, revised Oct 2007.
  2. Enzo Weber, 2008. "Structural Constant Conditional Correlation," SFB 649 Discussion Papers SFB649DP2008-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Enzo Weber, 2008. "Simultaneous Stochastic Volatility Transmission Across American Equity Markets," SFB 649 Discussion Papers SFB649DP2008-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.
  5. Enzo Weber, 2008. "Structural Dynamic Conditional Correlation," SFB 649 Discussion Papers SFB649DP2008-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper Series 21_13, The Rimini Centre for Economic Analysis.
  7. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79850, Verein für Socialpolitik / German Economic Association.
  8. Enzo Weber, 2007. "Correlation vs. Causality in Stock Market Comovement," SFB 649 Discussion Papers SFB649DP2007-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  9. Weber, Enzo, 2013. "Decomposing U.S. Stock Market Comovement into spillovers and common factors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 106-118.
  10. Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.

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