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Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them

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  • Cenk Gokce ADAS

    (Istanbul University, Faculty of Economics)

Abstract

This study examines the impact of the global financial crisis on the stock markets returns of China, Japan, India, and USA through E-GARCH model. In addition, it investigates the nature of volatility spillovers between stock indices during the global financial meltdown employing Granger Causality test. Daily stock prices are used for the period from 6th of January, 2006 to 22nd of April 2011. The main findings are as follows. First, in all stock markets high volatility and setback on the daily returns exist due to the financial crisis. Further the global financial crisis less affected Shanghai stock exchange than the other stock markets whereas it influenced the USA stock markets in large extent. Also stock returns volatility get moderated in the major Asian Countries stock markets after post crisis period but it has been remained in the USA stock exchanges. Secondly, Granger causality test shows that after the onset of the financial crisis, the USA stock markets have bidirectional influences on the each of other market, but didn?t receive any volatility spillover from major Asian Countries stock markets. Indian stock market experiences volatility spillover from all the stock markets. Japanese stock market receives volatility spillover only from USA stock markets. However, Shanghai stock exchange doesn?t experience any volatility spillover from the other stock markets.

Suggested Citation

  • Cenk Gokce ADAS, 2016. "Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 5(1), pages 1-17, March.
  • Handle: RePEc:sek:jijoes:v:5:y:2016:i:1:p:1-17
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    References listed on IDEAS

    as
    1. Rafaqet Ali & Muhammad Afzal, 2012. "Impact of global financial crisis on stock markets: Evidence from Pakistan and India," E3 Journal of Business Management and Economics., E3 Journals, vol. 3(7), pages 275-282.
    2. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
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    Cited by:

    1. Robiyanto Robiyanto & Michael Alexander Santoso & Apriani Dorkas Rambu Atahau & Harijono Harijono, 2019. "The Indonesia Stock Exchange and Its Dynamics: An Analysis of the Effect of Macroeconomic Variables," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(4), pages 59-73.
    2. Endri Endri & Zaenal Abidin & Torang P. Simanjuntak & Immas Nurhayati, 2020. "Indonesian Stock Market Volatility: GARCH Model," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 16(2), pages 7-17.

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    More about this item

    Keywords

    Volatility Spillover; Financial crisis; China; Japan; India and USA Stock Markets; E-GARCH; Granger Causality.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G01 - Financial Economics - - General - - - Financial Crises

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