1. The MacroJournals Conference on Business and Social Science: New York 2015, December 28-29, 2015 Financial contagion in Asian equity markets before, during, and after the 2008 financial crisis Jae-Kwang Hwang Department of Accounting & Finance Virginia State University P. O. Box 9047 Petersburg, VA 23806 Phone: 804-524-5365 Fax: 804-524-5400 E-mail: JHWANG@VSU.EDUJHWANG@VSU.EDU

2. MACRO 2015 Introduction: Capital market integration or Contagion in international finance Collapse of the US housing market and global financial crisis in 2008

3. MACRO 2015 Objective of this study:  Investigate the transmission of the US financial crisis to financial markets in Indonesia, Malaysia analyzing before and during the 2008 financial crisis period.

4. MACRO 2015 Literature Riview: Fujiwara and Takahashi (2012) Samarakoon (2011) Turgutlu and Ucer (2010) Gklezakou and Mylonakis (2010) Yiu, Ho and Jin (2010)

5. MACRO 2015 Data: Using daily data from January 2006 to March 2009 Indonesia (JSX) Malaysia (Kuala Lumpur Composite) Japan (Nikkei 225) US (S&P 500) r t = (log P t – log P t-1 )*100

6. MACRO 2015 Time periods: Pre-crisis period: January 2, 2006 through July 31, 2007 During crisis period: August 1, 2007 through the first repayment of Troubled Asset Relief Program (March 31, 2009)

7. MACRO 2015

15. Conclusions: 1.During the crisis period, all the stock markets had average daily negative returns compared to average daily positive returns in the pre-crisis period. The results support the general view that the developed markets tend to show a greater degree of integration during the crisis period.

16. MACRO 2015 2. Two emerging markets tend to be less integrated with the US market during the crisis period. Therefore, the diversification benefits can be gained through investments in the emerging markets. The continued strength of growth with intra-regional exports in the emerging markets helps the region to weather the adverse consequences of the 2008 financial crisis.