GLOBAL FINANCIAL CRISIS AND CONTAGION IN DEVELOPED ASIAN MARKETS

Abstract

During the Global Financial Crisis in the year 2008, the shock from the US economy has spread to many economies. The transmission of shock from one economy to other economy is defined as contagion effect. At the time of Global Financial Crisis, the contagion occurred at international level. The prevalence of Contagion effect of the Global Financial Crisis during the post period of the bankruptcy of Lehman Brothers Holdings Inc. on the developed markets - Hong Kong, Japan and Singapore are analyzed in this paper. GARCH (1,1) model is used in the study to analyse the contagion effect on the daily basis returns of the stock indices of the sample countries for the period of 10 years at the post period of the collapse of the Lehman Brothers Holding Inc.

Key Words: Financial Crisis, Developed Markets, Contagion, Volatility