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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 22

Assessing the Effects of the Global Financial Crisis on the East Asian Equity Markets

Tran Phuong Thaoa,b, Kevin Dalya and Craig Ellisa,    aSchool of Business, University of Western Sydney, Sydney, Australia,    bDepartment of Banking, University of Economics, Ho Chi Minh City, Vietnam,    E-mail: K.Daly@uws.edu.au

Abstract

This chapter investigates the transmission mechanism of the Global Financial Crisis which originated in the United States to the East Asian equity markets, including the developed markets of Hong Kong, Japan, and Singapore, and the emerging markets of Malaysia, Thailand, and Taiwan, and the frontier market of Vietnam. To test for the transmission mechanism, we employ the constant conditional correlation (CCC) and ...

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