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To assess the spillover effects of quantitative easing (QE) on return and volatility from the U.S. market to the selected Asian markets, this study applies dynamic correlation coefficient-generalized autoregressive conditional heteroscedasticity model to capture the time-varying nature of return and volatility spillovers during non-QE and QE periods of the sample countries. Furthermore, we incorporate the estimated time-varying correlation coefficients and country-specific factors to probe the determinants of the spillover. We find that the U.S. QE policies have significantly affected the correlations between the U.S. and some Asian countries, to which it performs significantly progressive decline in the correlations during the latest QE. Greater stock market liquidity remarkably increases their financial spillovers. [ABSTRACT FROM AUTHOR]

This paper investigates the stability of the steady-state growth process in East Asian region using a novel panel stationarity test, which allows us to control for (a) unobserved heterogeneity in form and date of potential structural breaks in a trend function, (b) the cross-sectional dependence among countries in the panel bootstrapping methods, and (c) the serially correlated errors. Evidence shows that a large majority of countries exhibit slowdowns in economic growth after their structural breaks and thus could not recover from negative shocks and return original balanced growth path. [ABSTRACT FROM AUTHOR]