School of Business, Guangdong University of Foreign Studies, Guangzhou, China.
Department of Business Administration, Daffodil International University, Dhaka, Bangladesh.
PLoS One. 2022 Sep 13;17(9):e0272450. doi: 10.1371/journal.pone.0272450. eCollection 2022.
This study investigates granger causal linkages among six Asian emerging stock markets and the US market over the period 2002-2020, taking into account several crisis periods. The pairwise Granger causality tests for investigating the short-run causality show significant bi- and uni-directional causal relationships in those markets and evidence that they have become more internationally integrated after every crisis period. An exception is Bangladesh with almost no significant short-term causal linkages with other markets. For understanding, how the financial linkages amplify volatility spillover effects, we apply the GARCH-M model and find that volatility and return spillovers act very inversely over time. However, market interface is weak before the crisis periods and becomes very strong during the financial crisis and US-China economic policy uncertainty periods. The US market plays a dominant role during the financial crisis and COVID-19 periods. Further analysis using the VAR model shows that a large proportion of the forecast variance of the Asian emerging stock markets is affected by the S&P 500 and that market shock starts to rise notably from the 1 to 10 period. The overall findings could provide important policy implications in the six countries under study regarding hedging, trading strategies, and financial market regulation.
本研究考察了 2002 年至 2020 年期间六个亚洲新兴股票市场与美国市场之间的格兰杰因果关系，同时考虑了几个危机时期。在考察短期因果关系的成对格兰杰因果检验中，这些市场存在显著的双向和单向因果关系，并且有证据表明，它们在每个危机时期之后变得更加国际化。孟加拉国是一个例外，与其他市场几乎没有显著的短期因果关系。为了了解金融联系如何放大波动溢出效应，我们应用 GARCH-M 模型，发现波动和回报溢出效应随着时间的推移呈非常相反的关系。然而，在危机时期之前，市场联系较弱，而在金融危机和中美经济政策不确定性时期变得非常强。美国市场在金融危机和 COVID-19 期间发挥主导作用。使用 VAR 模型进行的进一步分析表明，亚洲新兴股票市场的预测方差的很大一部分受到标准普尔 500 指数的影响，并且市场冲击从第 1 期到第 10 期显著上升。总体研究结果可为研究中的六个国家提供有关套期保值、交易策略和金融市场监管的重要政策启示。
