Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 145-155
In this paper, we investigate the spillover effect from US monetary policy to selected ASEAN stock markets by employing Markov-switching models. Based on univariate Markov-switching models, we confirm the existence of two distinct regimes for both US monetary policy and the stock markets. By...