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CONTAGION AND INTERDEPENDENCE AMONG GOLD, OIL, FOREX, AND ASIAN EMERGING EQUITY MARKETS |
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| รหัสดีโอไอ | |
| Creator | Nazakat Hussain, Imran Riaz Malik |
| Title | CONTAGION AND INTERDEPENDENCE AMONG GOLD, OIL, FOREX, AND ASIAN EMERGING EQUITY MARKETS |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2563 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 11 |
| Journal No. | 5 |
| Page no. | 11A05F: 1-11 |
| Keyword | AEEMs, Commodity, DCC GARCH Model, Global Financial Crisis, Market turmoil, Forex market, Subprime crisis, Equity risk. |
| URL Website | http://TuEngr.com/Vol11_5.html |
| Website title | ITJEMAST V11(4) 2020 @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | The terms contagion and interdependence strike the mainstream literature, specifically in times of crisis in financial markets. This study put an effort to examine the contagion and interdependence among Asian Emerging Equity Markets (AEEMs) (e.g., China, Taiwan, Pakistan, Malaysia, Thailand, South Korea, Philippines, India, and Indonesia), and the developed market of the US, Gold, WTI and UDI during the Global Financial Crisis (GFC). This study adds to the literature on portfolio diversification by testing the dynamic correlation among AEEMs, gold prices, oil prices, and forex markets during tranquil and turmoil situations. The multivariate GARCH-DCC model is applied to data series. To measure interdependence and contagion, the data is divided into tranquil and turmoil time period. Hence, in this study for GFC, the data is divided into tranquil (03-01-2005 to 16-07-2007) and turmoil (17-07-2007 to 31-08-2009) time period. The results show that except for China, Philippines, Taiwan, gold and forex markets, most of the AEEMs and oil markets were influenced by the contagion effect during the U.S. subprime crisis. The study indicates that in order to reduce the risk of equity portfolio at the time of crises, investors can add gold and forex in their portfolios. |
