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Financial Crisis and Intertemporal Linkages Across the ASEAN-5 Stock Markets

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Author Info

  • Kim-Leng Goh

    ()

  • Yoke-Chen Wong

    ()

  • Kim-Lian Kok

    ()

Abstract

The stock indices of five ASEAN countries, namely, Singapore, Malaysia, Indonesia, Thailand and the Philippines have experienced a structural change after mid-1997 due to the Asian financial crisis, and another shift slightly more than a year later when the markets rebounded. Contemporaneous correlation in stock returns is the strongest and Indonesia leads the movements of the other indices during the crisis. The relative influence of foreign shocks is much more felt during the crisis, as seen in the stronger and longer horizon of responses of all the markets. The stock indices are cointegrated before, but not during the crisis. Price feedbacks between the larger markets of Singapore, Malaysia and Indonesia that existed before the crisis disappear once the crisis is over. Short-run linkages of Malaysia with the other markets have weakened after the crisis. With an increase in the degree of exogeneity of its stock market, contemporaneous co-movements with the other markets have reduced and the causal relationships no longer exist. Copyright Springer Science + Business Media, Inc. 2005

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File URL: http://hdl.handle.net/10.1007/s11156-005-7018-6
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Bibliographic Info

Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 24 (2005)
Issue (Month): 4 (June)
Pages: 359-377

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Handle: RePEc:kap:rqfnac:v:24:y:2005:i:4:p:359-377

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Web page: http://springerlink.metapress.com/link.asp?id=102990

Related research

Keywords: contagion effects; market inter-relations; regional bloc; structural change;

References

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  1. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
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  7. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
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