A Study on the Structural Change of Asian Stock Market after Global Financial Crisis
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The purpose of this study is to analyze structural changes in the impact of the U.S. stock market on the Asian stock market after the global financial crisis. To examine these structural changes, this study tests the following three hypotheses. Is the co-movement between the U.S. stock market and the Asian stock market weakening during and after the global financial crisis? Are Asian stock market returns asymmetrically responding to the U.S. stock market during and after the global financial crisis? Is the volatility of the Asian stock market during and after the global economic downturn expanding due to the volatility of the U.S. stock market? For this hypothesis test, this study uses the AR(1)-GJR- GARCH(1,1) model. According to the first hypothesis test, uncertainty weakened the co-movement between the U.S. stock market with Asian stock market during the global financial crisis, while it was reinforced because uncertainty was resolved after the financial crisis. As a result of the second hypothesis test, it was found that the asymmetry of the U.S. stock market’s return on the return of the Asian stock market was removed through the financial crisis. And the result of the third hypothesis shows that the volatility of the U.S. stock market did not change the volatility of the Asian stock market during and after the global financial crisis. In addition, apart from the hypothesis test results, it can be seen that emerging countries are more affected by their own past returns than U.S. returns, and developed countries are more affected by U.S. returns than their own. Interestingly, during the global financial crisis, emerging stock markets are less affected by their own past returns. This is believed to be because of uncertainties caused by the financial crisis. In the case of volatility, the volatility of the country’s stock market after the financial crisis responded asymmetrically to the volatility of the country’s stock market and the volatility of the U.S. stock market, and that bad news increased volatility more than good news.
Abstract
The purpose of this study is to analyze structural changes in the impact of the U.S. stock market on the Asian stock market after the global financial crisis. To examine these structural changes, this study tests the following three hypotheses. Is the co-movement between the U.S. stock market and the Asian stock market weakening during and after the global financial crisis? Are Asian stock market returns asymmetrically responding to the U.S. stock market during and after the global financial crisis? Is the volatility of the Asian stock market during and after the global economic downturn expanding due to the volatility of the U.S. stock market? For this hypothesis test, this study uses the AR(1)-GJR- GARCH(1,1) model. According to the first hypothesis test, uncertainty weakened the co-movement between the U.S. stock market with Asian stock market during the global financial crisis, while it was reinforced because uncertainty was resolved after the financial crisis. As a result of the second hypothesis test, it was found that the asymmetry of the U.S. stock market’s return on the return of the Asian stock market was removed through the financial crisis. And the result of the third hypothesis shows that the volatility of the U.S. stock market did not change the volatility of the Asian stock market during and after the global financial crisis. In addition, apart from the hypothesis test results, it can be seen that emerging countries are more affected by their own past returns than U.S. returns, and developed countries are more affected by U.S. returns than their own. Interestingly, during the global financial crisis, emerging stock markets are less affected by their own past returns. This is believed to be because of uncertainties caused by the financial crisis. In the case of volatility, the volatility of the country’s stock market after the financial crisis responded asymmetrically to the volatility of the country’s stock market and the volatility of the U.S. stock market, and that bad news increased volatility more than good news.
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