Many researchers claim that the stock markets are getting more and more integrated. In other words, it is believed that there are stronger financial market linkages or co-movements among the stock markets around the globe. This paper attempts to determine whether there are financial market linkages or co-movements. Malaysia, Singapore, Japan and the US stock markets were screened in an attempt to obtain information about the linkages in stock markets. Three methods were used to examine the linkages or co-movements, namely, correlation analysis, cointegration analysis, and Granger causality test. The results of the correlation analysis suggest that financial market linkages are weak among the four countries undertaken in this study. Cointegration tests reveal that there is a long-run relationship as there is at most a single co-integrating vector. Finally, Granger causality test shows that most of the stock markets are influencing the other stock markets. Overall, the four stock markets seem to have financial market linkages or co-movements.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Volume (Year): VII (2009) Issue (Month): 1 (March) Pages: 22-35 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:icf:icfjfe:v:07:y:2009:i:1:p:22-35
Contact details of provider:
For technical questions regarding this item, or to correct its listing, contact: (Srinivasulu Bayineni).