Dynamic Connectedness of Asian Equity Markets
IMF Working Papers, March 9, 2016
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Bibliographic details
- Authors: Roberto Guimarães-Filho, Gee Hee Hong
- Published: March 9, 2016
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781513572451.001
Research scope and objectives
- Examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets.
- Address these questions using time-varying connectedness measures:
- How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods?
- Which markets are major sources and major recipients of shocks? Has there been a shift in terms of the net shock givers and shock receivers (directional connectedness over time)?
- Investigate the connectedness between China’s equity markets and other countries’ equity markets since August 2015 to highlight the growing importance of emerging market economies, particularly China, as sources of shocks.
Methodology
- Use of time-varying connectedness measures.
- Analysis focuses on both asset returns and volatilities.
- Investigation includes within-region linkages in Asia and linkages vis-à-vis major global markets.
- Specific emphasis on the period since August 2015 for China's equity market connections.
Key findings and thematic takeaways (as presented)
- Markets’ connectedness in returns and volatilities is analyzed over time, with attention to crisis periods.
- Identification of major source and recipient markets for shocks, including examination of shifts in net shock givers and receivers over time.
- Highlighted the growing importance of emerging market economies, particularly China, as sources of shocks since August 2015.
Publication and metadata
- Authors: Roberto Guimarães-Filho, Gee Hee Hong
- Publication date: March 9, 2016
- Series: Working Paper No. 2016/057
- Issue: 057
- Volume: 2016
- Pages: 36
- DOI: https://doi.org/10.5089/9781513572451.001
- Stock No: WPIEA2016057
- ISBN: 9781513572451
- ISSN: 1018-5941
Subjects and keywords
- Subjects: Emerging and frontier financial markets, Financial crises, Financial institutions, Financial integration, Financial markets, Global financial crisis of 2008-2009, Stock markets, Stocks
- Keywords: Asia and Pacific, Asia financial integration, China's economy, China's equity market movement, China's equity markets, consumer goods, Emerging and frontier financial markets, equity market boom, equity market spillover, equity markets return, equity price, equity return, Financial integration, financial linkages, financial spillovers, Global, Global financial crisis of 2008-2009, market monitoring, spillovers from China, spillovers from China to Hong Kong, stock market, stock market volatility, Stock markets, Stocks, vector autoregression, WP
Source: "Dynamic Connectedness of Asian Equity Markets", IMF Working Papers 2016, 057 (2016), Roberto Guimarães-Filho and Gee Hee Hong; accessed 9/17/2026.