Identifying Interdependencies between South-East Asian Stock Markets: A Non-Linear Approach

14 Pages Posted: 1 Jun 2007

See all articles by Olan T. Henry

Olan T. Henry

University of Melbourne - Department of Economics

Nilss Olekalns

University of Melbourne - Department of Economics

Rajith W.D. Lakshman

University of Colombo - Department of Economics

Abstract

This paper considers the question of how shocks to returns are transmitted across South-East Asian equity markets. Using a reasonably general statistical model our results suggest that a negative-return innovation leads to higher levels of domestic volatility than a positive innovation of equal magnitude. There is strong evidence that returns shocks are transmitted across markets, impacting not only on prices, but also on volatility. Any shock, positive or negative, serves to raise volatility.

Suggested Citation

Henry, Olan T. and Olekalns, Nilss and Lakshman, Rajith W.D., Identifying Interdependencies between South-East Asian Stock Markets: A Non-Linear Approach. Australian Economic Papers, Vol. 46, No. 2, pp. 122-135, June 2007. Available at SSRN: https://ssrn.com/abstract=989842 or http://dx.doi.org/10.1111/j.1467-8454.2007.00309.x

Olan T. Henry (Contact Author)

University of Melbourne - Department of Economics ( email )

Victoria 3010, 3010
Australia
+613 3 8344 5312 (Phone)
+613 3 8344 6899 (Fax)

HOME PAGE: http://melbecon.unimelb.edu.au/staffprofile/ohenry/home.html

Nilss Olekalns

University of Melbourne - Department of Economics ( email )

Victoria 3010, 3010
Australia

Rajith W.D. Lakshman

University of Colombo - Department of Economics ( email )

Department of Business Economics
Colombo 3, Western
Sri Lanka

HOME PAGE: http://www.cmb.ac.lk/academic/arts/econ/academics/dr_rajith.php

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