Hidden Bibliographic Details
| Other authors / contributors: | Hong, Gee Hee, (IMF staff)
International Monetary Fund. Asia and Pacific Department, issuing body.
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| ISBN: | 1513572458
9781513572451
9781513572451
1513578065
9781513578064
1513535722
9781513535722
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| ISSN: | 1018-5941
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| Notes: | "March 2016."
"Asia and Pacific Department."
Includes bibliographical references (pages 24-25).
Online resource; title from pdf title page (IMF.org Web site, viewed March 14, 2016).
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| Summary: | Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets. Using time-varying connectedness measures, we address the following questions: (1) How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods? (2) 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)? Finally, we investigate the connectedness between China 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.--Abstract.
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| Other form: | Print Version: Guimarães-Filho, Roberto. Dynamic Connectedness of Asian Equity Markets. Washington, D.C. : International Monetary Fund, 2016. 9781513572451
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| Standard no.: | 10.5089/9781513572451.001
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