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1 What econo-physics can tell us about Korean equity market co-movements?  / 2016 /  Journal of Economic Studies  / vol.43, no.4, pp.549 / 

10.1108/JES-04-2015-0058
2 Equity markets’ clustering and the global financial crisis  / 2017 /  Quantitative Finance  / vol.17, no.12, pp.1905 / 

10.1080/14697688.2017.1357970
3 A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets  / 2018 /  Emerging Markets Review  / vol.34, pp.143 / 

10.1016/j.ememar.2017.11.005
4 International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries  / 2018 /  Emerging Markets Review

10.1016/j.ememar.2018.03.007
5 Equity Marketss Clustering and the Global Financial Crisis  / 2016 /  SSRN Electronic Journal

10.2139/ssrn.2767336
6 International Financial Integration: Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries.  / 2012 /  SSRN Electronic Journal

10.2139/ssrn.2825807
7  / 2016 / 

10.32468/be.937
8 BRICS Capital Markets Co-Movement Analysis and Forecasting  / 2022 /  Risks  / vol.10, no.5, pp.88 / 

10.3390/risks10050088
9 BRICS Ülkeleri Arasında Borsa Entegrasyonu: Dalgacık Yaklaşımı  / 2025 /  Bulletin of Economic Theory and Analysis  / vol.10, no.1, pp.169 / 

10.25229/beta.1586216

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East Asian Economic Review Vol. 15, No. 4, 2011. pp. 49-73.

DOI https://dx.doi.org/10.11644/KIEP.JEAI.2011.15.4.239

Number of citation : 9

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The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia

Author

Sang Hoon Kang

Gyeongsang National University;Pusan National University

sanghoonkang@pusan.ac.kr

Seong-Min Yoon

smyoon@pusan.ac.kr
Creative Commons Attribution License

EAER is an open access journal distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license.

Abstract

This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate GARCH model indicate strong volatility linkages between the Chinese stock market and the four emerging stock markets since the global financial crisis, suggesting the intensification of stock market integration in Asia since the crisis increases the integration of Chinese stock market in Asia. This strong integration of the markets is important in that the intensified linkages can reduce potential gains from the diversification of international equity portfolios.

JEL classification: C58, F36, G11, G15

Keywords

Bivariate GARCH-BEKK model, Global financial crisis, Stock market integration

Language

English

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