Dynamic connectedness of Asian equity markets /

Dynamic connectedness of Asian equity markets /

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Bibliographic Details
Author / Creator:	Guimarães-Filho, Roberto Fernandes, (IMF staff)
Imprint:	[Washington, D.C.] : International Monetary Fund, 2016. ©2016
Description:	1 online resource (36 pages) : illustrations.
Language:	English
Series:	IMF Working Paper ; WP/16/57 IMF working paper ; WP/16/57.
Subject:	Stock exchanges -- Asia. Capital movements -- Asia. Finance -- Asia. Capital movements. Economic policy. Finance. International economic integration. Stock exchanges. Asia -- Economic integration. Asia -- Economic policy. Asia.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12504818

Hidden Bibliographic Details
Other authors / contributors:	Hong, Gee Hee, (IMF staff) International Monetary Fund. Asia and Pacific Department, issuing body.
ISBN:	1513572458 9781513572451 9781513572451 1513578065 9781513578064 1513535722 9781513535722
ISSN:	1018-5941
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).
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.
Other form:	Print Version: Guimarães-Filho, Roberto. Dynamic Connectedness of Asian Equity Markets. Washington, D.C. : International Monetary Fund, 2016. 9781513572451
Standard no.:	10.5089/9781513572451.001

Description
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'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.
Item Description:	"March 2016." "Asia and Pacific Department."
Physical Description:	1 online resource (36 pages) : illustrations.
Bibliography:	Includes bibliographical references (pages 24-25).
ISBN:	1513572458 9781513572451 1513578065 9781513578064 1513535722 9781513535722
ISSN:	1018-5941