SPILLOVER EFFECTS OF THE SUB-PRIME MORTGAGE CRISIS TO THE ASIAN STOCK MARKETS
Abstract This paper aims to analyze the effects of the sub-prime mortgage crisis on several Asian stock markets. An Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model is employed to provide an empirical evidence of the direct spillover. The indirect effect is measur...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2014-10-01
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| Series: | Economic Journal of Emerging Markets |
| Online Access: | https://jurnal.uii.ac.id/JEP/article/view/3320 |