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Are the Asian Equity Markets more Interdependent after the Financial Crisis?

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Author Info

  • Elif Akben

    ()
    (Boðaziçi University)

  • Gökhan Özertan

    ()
    (Boðaziçi University)

  • Aslýhan D. Spaulding

    ()
    (Illinois State University, Normal)

Abstract

This paper examines the impact of the 1997 Asian Financial Crisis on the linkages between the Singapore and five Asian-Pacific stock markets. We show that the interdependence between these markets has intensified after the crisis. Before the crisis, only the Malaysian stock market is found to be cointegrated with Singapore. However, after the onset of the crisis, the stock markets of Hong Kong, Japan, Malaysia and the US are found to be cointegrated with the Singapore stock market.

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File URL: http://www.accessecon.com/pubs/EB/2008/Volume6/EB-08F30013A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 6 (2008)
Issue (Month): 16 ()
Pages: 1-7

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Handle: RePEc:ebl:ecbull:eb-08f30013

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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  2. Hsiao, Cheng, 1979. "Causality tests in econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 1(4), pages 321-346, November.
  3. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
  4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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