English, Article edition: Estimating and Explaining Extreme Comovements in Asia-Pacific Equity Markets Mahendra Chandra

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Bookmark: http://trove.nla.gov.au/version/132383
Physical Description
  • article
Language
  • English

Edition details

Title
  • Estimating and Explaining Extreme Comovements in Asia-Pacific Equity Markets
Author
  • Mahendra Chandra
Physical Description
  • article
Notes
  • The correlation structure amongst selected Asia-Pacific equity markets is examined using the Constant Correlation multivariate GARCH (CC-MGARCH) model, the Dynamic Conditional Correlation multivariate GARCH (DCC-MGARCH) model, and an Exponentially-Weighted Moving Average (EWMA) correlation measure. The markets of Australia, Hong Kong, Japan and Singapore are analyzed from 1990 to 2001 and dynamic nature of the correlation is captured and explained. We find that global as well as regional factors contribute to the correlation spikes. Extreme volatility does not necessarily result in extreme correlations between some markets and there is higher comovement between markets since the Asian financial crisis. We also find that despite common periods of high volatility, there is still economic justification for diversification within this region.
  • Dynamic Conditional Correlation, Time-varying correlations, Asia-Pacific equity markets, GARCH models
  • RePEc:wsi:rpbfmp:v:08:y:2005:i:01:p:53-79
Language
  • English
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