By virtue of the US markets closing later than Asia-Pacific(AP)markets,returns observed in the US include information not reflected in AP until the next day.Provided there is enough integration among markets,this asym...By virtue of the US markets closing later than Asia-Pacific(AP)markets,returns observed in the US include information not reflected in AP until the next day.Provided there is enough integration among markets,this asymmetry should then generate Granger causality from the US returns towards returns in the AP region.It is thus obvious that when testing for Granger causality among the Western and AP markets,interdependence due to non-synchronicity should be clearly identified and factored out.Our novel method is to measure contagion,usually defined as excessive market integration during crises,as excess interdependence beyond the non-synchronicity induced.We test for contagion of the 2008 Financial Crisis from the US to AP.The unmistakable emergence of a new cointegration relation that intertwines the US and AP markets only during the crisis,but not before,presents evidence of long-run contagion,that is a new channel that transmits crisis-related info.We find strong contagion from US to Korea,no contagion to Hong Kong,and Australia is a mixed case.Our explanation is that the Korean economy is the most vulnerable due to its export orientation,Hong Kong becomes disentangled due to its relation to China,which is consistent with the theory of‘decoupling’of China,and the Australian case is somewhere in the middle,probably due to its close ties to the US but also its strong reliance on natural resources and gold.展开更多
文摘By virtue of the US markets closing later than Asia-Pacific(AP)markets,returns observed in the US include information not reflected in AP until the next day.Provided there is enough integration among markets,this asymmetry should then generate Granger causality from the US returns towards returns in the AP region.It is thus obvious that when testing for Granger causality among the Western and AP markets,interdependence due to non-synchronicity should be clearly identified and factored out.Our novel method is to measure contagion,usually defined as excessive market integration during crises,as excess interdependence beyond the non-synchronicity induced.We test for contagion of the 2008 Financial Crisis from the US to AP.The unmistakable emergence of a new cointegration relation that intertwines the US and AP markets only during the crisis,but not before,presents evidence of long-run contagion,that is a new channel that transmits crisis-related info.We find strong contagion from US to Korea,no contagion to Hong Kong,and Australia is a mixed case.Our explanation is that the Korean economy is the most vulnerable due to its export orientation,Hong Kong becomes disentangled due to its relation to China,which is consistent with the theory of‘decoupling’of China,and the Australian case is somewhere in the middle,probably due to its close ties to the US but also its strong reliance on natural resources and gold.
