•  
  •  
 

Abstract

This study aims to examine the contagion effect of the Argentinian and Turkish crises to Asian countries using the DCC-MGARCH model. The data used is the daily closing price index of the stock index obtained from Thomson Reuters DataStream covering form the period of January 2, 2014 to May 17, 2019. The results showed that the contagion effect of the Argentinian crisis occurred in Malaysia, Korea, Thailand and the Philippines, while Indonesia, Singapore, India and China are only interdependence. The pure contagion test results also show that the contagion effect of the Turkish crisis occurred in Indonesia, Malaysia, the Philippines, Thailand, India, and China, while Singapore and Korea only interdependence with the Turkish market.

Bahasa Abstract

Penelitian ini bertujuan untuk menguji adanya contagion effect dari krisis Argentina dan Turki ke negara-negara Asia dengan menggunakan model DCC-MGARCH. Data yang digunakan adalah data harian harga penutupan indeks saham yang diperoleh dari Thomson Reuters DataStream mencakup periode 2 Januari 2014 hingga 17 Mei 2019. Hasil penelitian menunjukkan bahwa contagion effect dari krisis Argentina terjadi di Malaysia, Korea, Thailand, dan Filipina, sedangkan Indonesia, Singapura, India, dan Cina hanya interdependence. Hasil uji pure contagion juga menunjukkan bahwa contagion effect dari krisis Turki terjadi di Indonesia, Malaysia, Filipina, Thailand, India, dan Cina, sedangkan Singapura dan Korea hanya interdependence dengan pasar Turki.

References

[1] Ando, M., & Kimura, F. (2012). How did the Japanese exports respond to two crises in the international production networks? The global financial crisis and the Great East Japan Earthquake. Asian Economic Journal, 26(3), 261-287. doi: https://doi.org/10.1111/j.1467-8381.2012.02085.x.

[2] Asai, M., & McAleer, M. (2009). The structure of dynamic correlations in multivariate stochastic volatility models. Journal of Econometrics, 150(2), 182-192. doi: https: //doi.org/10.1016/j.jeconom.2008.12.012.

[3] Baig, T., & Goldfajn, I. (1999). Financial market contagion in the Asian crisis. IMF Staff Papers, 46(2), 167-195. doi: https://doi.org/10.2307/3867666.

[4] Baur, D. (2003). Testing for contagion—mean and volatility contagion. Journal of Multinational Financial Management, 13(4-5), 405-422. doi: https://doi.org/10.1016/S1042- 444X(03)00018-5.

[5] Bekaert, G., Harvey, C. R., & Ng, A. (2005). Market integration and contagion. The Journal of Business, 78(1), 39-69. doi: 10.1086/426519.

[6] Boubaker, S., Jouini, J., & Lahiani, A. (2016). Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis. The Quarterly Review of Economics and Finance, 61, 14-28. doi: https://doi.org/10.1016/j.qref.2015.11.001.

[7] Calvo, S., & Reinhart, C. M. (1996). Capital flows to Latin America: Is the evidence of contagion efects? in G. Calvo, M. Goldstein, & E. Hochreiter (eds.), Private capital flows to emerging markets after the Mexican crisis, pp. 151-171. Washington, DC: Institute for International Economics.

[8] Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance, 26(7), 1206-1228. doi: https: //doi.org/10.1016/j.jimonfin.2007.06.005.

[9] Christoffersen, P., Errunza, V., Jacobs, K., & Langlois, H. (2012). Is the potential for international diversification disappearing? A dynamic copula approach. The Review of Financial Studies, 25(12), 3711-3751. doi: https: //doi.org/10.1093/rfs/hhs104.

[10] Colacito, R., Engle, R. F., & Ghysels, E. (2011). A component model for dynamic correlations. Journal of Econometrics, 164(1), 45-59. doi: https: //doi.org/10.1016/j.jeconom.2011.02.013.

[11] Collins, D.,&Biekpe, N. (2003). Contagion: a fear for African equity markets?. Journal of Economics and Business, 55(3), 285-297. doi: https://doi.org/10.1016/S0148-6195(03)00020-1.

[12] Corsetti, G., Pericoli, M., & Sbracia, M. (2005). ‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion. Journal of International Money and Finance, 24(8), 1177-1199. doi: https: //doi.org/10.1016/j.jimonfin.2005.08.012.

[13] Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350. doi: https: //doi.org/10.1198/073500102288618487.

[14] Engle, R. F., & Sheppard, K. (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. NBER Working Paper, 8554. National Bureau of Economic Research. Diakses 12 September 2019 dari https://www.nber.org/papers/w8554.

[15] Forbes, K. J., & Chinn, M. D. (2004). A decomposition of global linkages in financial markets over time. Review of Economics and Statistics, 86(3), 705-722. doi: https: //doi.org/10.1162/0034653041811743.

[16] Forbes, K., & Rigobon, R. (2000). Contagion in Latin America: Definitions, measurement, and policy implications. NBER Working Paper, 7885. National Bureau of Economic Research. Diakses 14 September 2019 dari https: //www.nber.org/papers/w7885.

[17] Forbes, K., & Rigobon, R. (2001). Measuring contagion: conceptual and empirical issues. In S. Claessen & K. Forbes (eds.), International financial contagion, pp. 43-66. Springer, Boston, MA. doi: https://doi.org/10.1007/978-1-4757-3314- 3˙3.

[18] Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. The Journal of Finance, 57(5), 2223-2261. doi: https://doi.org/10.1111/0022-1082.00494.

[19] Frank, N., & Hesse, H. (2009). Financial spillovers to emerging markets during the global financial crisis. IMF Working Paper, WP/09/104. International Monetary Fund. Diakses 14 September 2019 dari https: //www.imf.org/en/Publications/WP/Issues/2016/12/31/ Financial-Spillovers-to-Emerging-Markets-During-the- Global-Financial-Crisis-22936.

[20] Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3(2), 281-307. doi: https://doi.org/10.1093/rfs/3.2.281.

[21] Hemche, O., Jawadi, F., Maliki, S. B., & Cheffou, A. I. (2016). On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach. Economic Modelling, 52, 292-299. doi: https: //doi.org/10.1016/j.econmod.2014.09.004.

[22] Hwang, I., In, F. H., & Kim, T. S. (2010). Contagion effects of the US subprime crisis on international stock markets. Finance and Corporate Governance Conference 2010 Paper. Diakses 12 September 2019 dari https://ssrn.com/abstract= 1536349.

[23] Jawadi, F., Louhichi, W., & Idi Cheffou, A. (2015). Intraday bidirectional volatility spillover across international stock markets: does the global financial crisis matter?. Applied Economics, 47(34-35), 3633-3650. doi: https: //doi.org/10.1080/00036846.2015.1021459.

[24] Kaminsky, G. L., & Reinhart, C. M. (2000). On crises, contagion, and confusion. Journal of International Economics, 51(1), 145-168. doi: https://doi.org/10.1016/S0022-1996(99)00040-9.

[25] Lin, C. H. (2012). The comovement between exchange rates and stock prices in the Asian emerging markets. International Review of Economics & Finance, 22(1), 161-172. doi: https://doi.org/10.1016/j.iref.2011.09.006.

[26] Okubo, T., Kimura, F., & Teshima, N. (2014). Asian fragmentation in the global financial crisis. International Review of Economics & Finance, 31, 114-127. doi: https: //doi.org/10.1016/j.iref.2014.01.001.

[27] Philippas, D., & Siriopoulos, C. (2013). Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets. Journal of International Financial Markets, Institutions and Money, 27, 161-176. doi: https: //doi.org/10.1016/j.intfin.2013.09.008.

[28] Rose, A. K., & Spiegel, M. M. (2010). Cross-country causes and consequences of the 2008 crisis: International linkages and American exposure. Pacific Economic Review, 15(3), 340- 363. doi: https://doi.org/10.1111/j.1468-0106.2010.00507.x.

[29] Syllignakis, M. N., & Kouretas, G. P. (2011). Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets. International Review of Economics & Finance, 20(4), 717-732. doi: https: //doi.org/10.1016/j.iref.2011.01.006.

[30] Tamakoshi, G., & Hamori, S. (2014). Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach. International Review of Economics & Finance, 31, 105-113. doi: https: //doi.org/10.1016/j.iref.2014.01.016.

[31] Yang, J., & Bessler, D. A. (2008). Contagion around the October 1987 stock market crash. European Journal of Operational Research, 184(1), 291-310. doi: https: //doi.org/10.1016/j.ejor.2006.04.046.

Download

Share

COinS
 
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.