THE IMPACT OF FINANCIAL CONTAGION ON EMERGING ASIAN STOCK MARKETS WITH SPECIAL REFERENCE TO GLOBAL FINANCIAL CRISIS

This paper investigates the transmission of financial contagion effect from the US economy to nine emerging Asian stock markets during the Global financial crisis in 2008. This event affected the global financial investments, financial functions and also slows down the economic growth and development. The financial systems of the selected countries were lead to volatility condition in their stock market. The daily return of the indices of the stock market which are the representation of the activities of the stock market are taken to identify the financial contagion effect of Global Financial Crisis for a period of five years before and nine years after the crisis. The study has selected the sample countries based on the availability of data from the MSCI report of emerging markets index of March 2018.This study employs statistical tools like Descriptive Statistics, ADF and GARCH(1,1) model to identify the contagion effect or impact. The extent of existence of contagion is analysed by comparing the pre crisis, crisis and post crisis period.