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Directional spillover effects between ASEAN and world stock markets

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  • Kang, Sang Hoon
  • Uddin, Gazi Salah
  • Troster, Victor
  • Yoon, Seong-Min

Abstract

We investigate dynamic spillovers between ASEAN-5 and world stock markets using a dynamic equicorrelation (DECO) model and the spillover index of Diebold and Yilmaz (2012), which identifies net directional spillovers for each one of the markets. The DECO model uses more information to calculate dynamic correlations between each pair of returns than standard dynamic conditional correlation models, decreasing the estimation noise of the correlations. Directional spillovers from world stock markets to ASEAN-5 stock markets are higher than in the opposite direction. Besides, our results indicate heterogeneity among the ASEAN-5 stock markets in the degree of spillover to world markets over time. We verify an increase in both return and volatility spillovers during financial crises, confirming the intensity of information transmission during periods of turmoil. These findings help understand the economic channels through which the ASEAN-5 equity markets are connected, and have important implications for emerging and frontier markets.

Suggested Citation

  • Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
  • Handle: RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300751
    DOI: 10.1016/j.mulfin.2019.100592
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    Keywords

    ASEAN stock markets; Financial market contagion; Directional spillover index; Global financial crisis; DECO;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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