Southeast Asian stock market linkages: evidence from pre- and post-October 1997.: An article from: ASEAN Economic Bulletin
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This digital document is an article from ASEAN Economic Bulletin, published by Institute of Southeast Asian Studies (ISEAS) on April 1, 2003. The length of the article is 6645 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
From the author: This article investigates both the static and dynamic interdependence of the stock markets of Indonesia, Malaysia, the Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany, and the United States. Using data from 1990 to 2001, the paper employs both correlation and co-integration analysis to describe the behaviour of the above markets, both before and after the 1997 Asian financial crisis. Examination of stock market returns, using correlation analysis, reveals an increase in the interdependencies (increased correlation) across the Southeast Asian stock markets in the aftermath of the crisis. Both multivariate and pairwise co-integration tests are carried out for all the above stock markets. Although there is evidence of integration between the Southeast Asian stock markets, overall the results suggest that there has been no significant increase in the integration between the Southeast Asian stock markets during the post-crisis period. With a few exceptions, there is little evidence to indicate the existence of any co-integrating vectors in either the multivariate or pairwise co-integration tests.
Citation Details
Title: Southeast Asian stock market linkages: evidence from pre- and post-October 1997.
Author: Kevin James Daly
Publication:ASEAN Economic Bulletin (Refereed)
Date: April 1, 2003
Publisher: Institute of Southeast Asian Studies (ISEAS)
Volume: 20 Issue: 1 Page: 73(13)
Distributed by Thomson Gale
From the author: This article investigates both the static and dynamic interdependence of the stock markets of Indonesia, Malaysia, the Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany, and the United States. Using data from 1990 to 2001, the paper employs both correlation and co-integration analysis to describe the behaviour of the above markets, both before and after the 1997 Asian financial crisis. Examination of stock market returns, using correlation analysis, reveals an increase in the interdependencies (increased correlation) across the Southeast Asian stock markets in the aftermath of the crisis. Both multivariate and pairwise co-integration tests are carried out for all the above stock markets. Although there is evidence of integration between the Southeast Asian stock markets, overall the results suggest that there has been no significant increase in the integration between the Southeast Asian stock markets during the post-crisis period. With a few exceptions, there is little evidence to indicate the existence of any co-integrating vectors in either the multivariate or pairwise co-integration tests.
Citation Details
Title: Southeast Asian stock market linkages: evidence from pre- and post-October 1997.
Author: Kevin James Daly
Publication:ASEAN Economic Bulletin (Refereed)
Date: April 1, 2003
Publisher: Institute of Southeast Asian Studies (ISEAS)
Volume: 20 Issue: 1 Page: 73(13)
Distributed by Thomson Gale
