Volatility Transmission Between ASEAN-5 Stock Exchanges
نویسندگان
چکیده
This article aims to analyse risk transmission among the financial markets of China and ASEAN-5 in context 2015 Chinese stock market crash. For this purpose, authors test if (1) volatility resulting from crash has positively influenced (2) increased perception led a negative reaction investors, both as markets. The results imply an enhancement asymmetric effect, suggesting that during crash, responded more significantly bad news than good news. In post-crash, dropped expressively. During crisis, was significant point jeopardising portfolio diversification tended balance, mitigating very significantly. believe there are opportunities for international investors readjust their portfolios these regional
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ژورنال
عنوان ژورنال: International journal of corporate finance and accounting
سال: 2023
ISSN: ['2334-4636', '2334-4628']
DOI: https://doi.org/10.4018/ijcfa.319711