Journal of East Asian studies

PISSN : 1347-9415
NCID : AA11831154

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Journal of East Asian studies Volume 12
published_at 2014-03

Global economic crisis and East Asian stock markets

Global economic crisis and East Asian stock markets
Park Jin Woo
1.29 MB
This paper investigates the impact of global economic crisis on the stock markets of four East Asian countries including Japan, China, Korea, and Twain using their daily rate of returns on the market indices for the period from July 15, 2004 to July 31, 2010. The main results are summarized as follow. First, there were significant changes in the stock return patterns after the crisis in the U.S. and East Asian countries by observing decrease in mean return, increase in volatility, increase in skewness, and increase in kurtosis. Second, the impact of the crisis triggered by collapse of Lehman Brothers was more severe to the Japanese stock market as compared to the Korea, Taiwan, and China. In addition, the crisis continued to affect stock markets of the U.S. and Japan for 6 months whereas Korea, Taiwan, and China were no longer affected by the crisis beyond 3 months. Third, Taiwan and Korea made a quicker recovery from the crisis relative to the U.S and Japan. Fourth, the stock return and volatility in the U.S. market have a significant impact on market return and volatility of Japan, China, Korean, and Taiwan during the period of global economic crisis. In the country level, the Japanese market is the most sensitive to return changes in the U.S. market while the largest volatility spillover is observed for the Chinese market. These results confirm close economic linkages between the U.S. and East Asian countries and the argument of Longin (1995) that the linkages between the stock markets rapidly increase in turbulence.
Creator Keywords
global economic crisis
East Asian stock markets
impact of crisis
recovery from crisis
spillover effects