In Asia, NASDAQ`s success has helped prompt Singapore (SESDAQ), Japan (JASDAQ),
Taiwan (TAISDAQ) and South Korea (KOSDAQ) to set up or formalize their own second
board markets in the 1980s and early 1990s. In 1999, Malaysia (MESDAQ) and Hong
Kong (GEM) also set up their second board markets. Given the growing importance of
these second board markets, we examine whether there is any evidence of spillovers
from NASDAQ returns and volatilities to Asian second board market returns and
volatilities and whether the cross-country spillovers are strong relative to
domestic spillovers from the corresponding main board markets. For this purpose, we
employ EGARCH models, dynamic causality tests, and VAR-based forecast error
decompositions using daily data of a recent sample period that includes the Asian
financial crisis of 1997 and up to April 20, 2001.
We find that, first, there is strong evidence of lagged returns and volatility
spillovers from the NASDAQ market to the Asian second board markets when we exclude
contemporaneous main board market returns. Second, there is strong evidence of
contemporaneous and lagged returns and volatility spillovers from the local main
board markets to the corresponding second board markets. However, even in the
presence of contemporaneous main board market returns, there remain substantial
spillovers from the lagged NASDAQ returns and volatilities to Asian second board
market returns and volatilities. These findings are not sensitive to whether we use
U.S. dollar-based data or local currency-based data.
Given the difference in the trading hours between the NASDAQ and Asian stock
markets, we attempt to alleviate this concern by using some available intra-day
return data and Canadian return data. The findings seem quite robust: There is
substantial information spillover from the NASDAQ to Asian and Canadian second board
markets. These findings indicate the existence of substantial cross-country industry
effect (or meteor shower effect) as well as domestic market effect (or heat wave
effect) and imply that both country diversification and industry diversification are
important.
게시판
공지사항
[2002년 제 2차] Information Transmission between NASDAQ and Asian S
작성자 : 관리자
조회수 : 1243
게시일 :
2003-07-12
첨부파일