Volatility spillovers and linkages in Asian stock markets

Volatility spillovers and linkages in Asian stock markets


POINT OF VIEW

We've seen a great deal of stock market volatility since the outbreak of the global financial crisis. The gyrations in the market not only have an impact on individual investors but also raises concerns on financial stability issues for policy makers.

Chow Hwee Kwan

Professor of Economics and Statistics (Practice)


In brief

  • Volatility spillovers are not just temporary shocks due to the Global Financial Crisis. Greater economic volatility persisted even after the period.
  • While stock markets in Asia were more susceptible to spillover from Japan and China before the crisis, during the crisis, the level of influence of the Chinese market matched Japan. That being said the US market has overshadowed China's and Japan's influence pre- and post-crisis.
  • The investment strategy of firms and individuals will need to consider the greater volatility in the equity market.

Professor Chow Hwee Kwan from SMU's School of Economics shares key findings of her research on the growing financial linkages in the region, and how it enhances the understanding of the interactions among national stock markets.

Cross-border linkages among national stock markets have been strengthening over time, aided by free capital flows and the advancement in information technology.  The use of electronic trading, which reduces cost and increases the speed of international financial transactions, has helped to advance this trend.  Additionally, the deregulation of equity markets and liberalisation of financial accounts in emerging economies increase their connectedness with world markets.

In this podcast, Professor of Economics and Statistics Chow Hwee Kwan from the SMU School of Economics, discusses the key findings of her research on the growing financial linkages in the region, and how it enhances the understanding of the interactions among national stock markets.

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Originally published at https://engage.smu.edu.sg/volatility-spillovers-and-linkages-asian-stock-markets.  


Inside the mind of

Chow Hwee Kwan serves as Professor of Economics and Statistics (Practice); Deputy Dean, Programmes and Academic Director, Global Impact Scholarship Award at Singapore Management University. Her research focuses on Monetary Economics, International Finance and Economic Forecasting.