US Equity Market Spill-Over and Contagion Effects on Selected Asian Markets Vis-A-Vis September 11

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Title US Equity Market Spill-Over and Contagion Effects on Selected Asian Markets Vis-A-Vis September 11
Author Hatemi-Jarabad, Abdulnasser; Roca, Eduardo Dacillo; Tang, Fang
Journal Name International Economics
Editor Amedeo Amato
Year Published 2005
Place of publication Italy
Publisher Institute of International Economics
Abstract Considering the global dominarnce of the US equity market, it is expected that the impact of September 11 on the US market would spill-over to other markets. Since this terrible event had created a global climate of fear and uncertainty, it is possible that the US spill-over effect could have been driven not only by fundamental factors but also by non-fundamental ones. Thus, contagion could have played a dominant role in transmitting the effect of September 11 from the US to other markets. In this paper, we verify whether indeed this has happened. Based on leveraged bootstrap causality tests, we examine the causal effects of the US on Indonesia, China, Japan, Taiwan and Singapore in relation to September 11. We found that the causal effects of the US on Japan and Singapore intensified as a result of September 11; however, we did not find these to be associated with contagion effects. It appears that the September 11 impact on the US market was not transmitted to the other Asian markets as the US influence on these markets either remained the same or even diminished.
Peer Reviewed Yes
Published Yes
Copyright Statement Copyright 2005 Camera di Commercio di Genova. The attached file is reproduced here in accordance with the copyright policy of the publisher.
Volume LVIII
Issue Number 4
Page from 449
Page to 470
ISSN 0012-981X
Date Accessioned 2006-03-08
Language en_AU
Faculty Griffith Business School
Subject Finance Economics
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1

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