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Stock Interdependencies: The Case of an Emerging East Asian Economy

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  • V G R Chandran
  • Ramesh Rao

Abstract

: This paper examines the relationship between stock indices of Malaysia and the emerging East Asian countries, namely South Korea, Taiwan, Hong Kong and Japan. The cointegration analysis found a long-run relationship between the stock indices of Malaysia and South Korea. The results of the Granger causality suggest no evidence of any causality between the stock indices of Malaysia and Japan. Whereas in the short run, a unidirectional causality running from stock indices of South Korea and Hong Kong to that of Malaysia were detected. Conversely, stock indices of Malaysia and Taiwan showed bidirectional causality.

Suggested Citation

  • V G R Chandran & Ramesh Rao, 2009. "Stock Interdependencies: The Case of an Emerging East Asian Economy," The IUP Journal of Applied Economics, IUP Publications, vol. 0(5-6), pages 73-82, September.
    • Handle: RePEc:icf:icfjae:v:08:y:2009:i:5-6:p:73-82
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    Cited by:

    1. Shalini TALWAR, 2019. "Exploring Contemporaneous Correlations Among BRICS Stock Markets," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 51-59.

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