Manopimoke, Pym; Prukumpai, Suthawan; Sethapramote, Yuthana - In: Banking and finance issues in emerging markets, (pp. 51-84). 2018
This chapter examines dynamic connectedness among emerging Asian equity markets as well as explores their linkages vis-à-vis other major global markets. We find that international equity markets are tightly integrated. Measuring connectedness based on a generalized Vector Autoregressive (VAR)...