IMF Working Papers

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

By Jorge A Chan-Lau, Iryna V. Ivaschenko

September 1, 2002

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Jorge A Chan-Lau, and Iryna V. Ivaschenko Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia, (USA: International Monetary Fund, 2002) accessed September 19, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the "tech bubble" period, and the "stock market correction" period. Hong Kong SAR , Japan, and Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree during the "stock market correction" period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the "tech bubble" period.

Subject: Asset prices, Financial crises, Financial institutions, Financial markets, Financial sector policy and analysis, Prices, Spillovers, Stock markets, Stocks

Keywords: Asia, Asia and Pacific, Asset prices, Asymmetric GARCH models, Bubble period, Price, Price coefficient, Price spillover, Price spillovers, Spillover pattern, Spillovers, Stock market prices correspond, Stock markets, Stocks, TMT sector, United States, Volatility spillovers, WP

Publication Details

  • Pages:

    30

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2002/154

  • Stock No:

    WPIEA1542002

  • ISBN:

    9781451857245

  • ISSN:

    1018-5941