Note(s): (1) Estimated impulse responses from a 1 standard deviation shock to the weekly returns to the Thailand equity market on the same market and all other East Asian markets in one week, based on Eq. (3). The underlying estimates of the SVAR model (Eq. 1) are obtained row-wise by applying the GMM instrumental variables discussed in the text. VAR model (Eq. 2) estimates are obtained by applying OLS row-wise, which produces ML estimates. (2) The SVAR model (Eq. 1) produces larger impulse responses across all the considered East Asian markets. (3) Abbreviations: CHN, HKG, IDN, KOR, MYS, PHL, THA, TWN and VNM denote weekly returns on equity indices for markets in China, Hong Kong, Indonesia, (South) Korea, Malaysia, the Philippines, Thailand, Taiwan and Vietnam, respectively