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Purpose – This paper analyzes the connectivity of Asian foreign exchange markets using the volatility spillover index of Diebold and Yilmaz (2009/2012).
Design/Methodology/Approach – The paper used exchange rate data for 11 Asian countries (Korea, Japan, Hong Kong, Singapore, Malaysia, China, Thailand, Indonesia, Taiwan, the Philippines, and Vietnam) and Australia. The data period is from January 2, 2015, to October 4, 2022. Analysis used the volatility spillover index model of Diebold and Yilmaz (2012).
Findings – As a result, it was found that there were return spillovers in the Asian foreign exchange market, and the total volatility transfer is 59.5%. Singapore, Taiwan, Australia, Korea, Malaysia, Thailand, Indonesia, China, the Philippines, Japan, Vietnam, and Hong Kong have the highest outflow transfer effect in the Asian foreign exchange market, in that order. Singapore, Korea, Australia, Malaysia, Taiwan, Thailand, Indonesia, China, the Philippines, Vietnam, Japan, and Hong Kong have the highest inflow transfer effect, in that order. Singapore, Taiwan, Australia, Korea, Malaysia, and Thailand are the leading markets in the Asian foreign exchange market, while Vietnam, Japan, Hong Kong, China, the Philippines, and Indonesia are dependent markets in the Asian foreign exchange market. As a result of analyzing through a sample moving average analysis, it was found that the outbreak of COVID-19 and the WHO pandemic declaration had the strongest effect on the linkage of the foreign exchange market.
Research Implications – This study empirically demonstrates the importance of linkages between markets for investors and policy makers in the foreign exchange market.
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