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Stock market integration and financial crises: the case of Asia

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Author Info
Jian Yang
James W. Kolari
Insik Min

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Abstract

This study examines long-run relationships and short-run dynamic causal linkages among the US, Japanese, and ten Asian emerging stock markets, with the particular attention to the 1997-1998 Asian financial crisis. Extending related empirical studies, comparative analyses of pre-crisis, crisis, and post-crisis periods are conducted to comprehensively evaluate how stock market integration is affected by financial crises. In general, the results for the case of Asia show that both long-run cointegration relationships and short-run causal linkages among these markets were strengthened during the crisis and that these markets have generally been more integrated after the crisis than before the crisis. Detailed country-by-country analyses are provided, which yield a variety of new results concerning the roles of individual countries in international stock market integration. An important implication of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 13 (2003)
Issue (Month): 7 (January)
Pages: 477-486
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Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:477-486

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  1. Ian Babetskii & Lubos Komarek & Zlatuse Komarkova, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Working Papers 2007/7, Czech National Bank, Research Department. [Downloadable!]
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  2. Kui Fan & Zudi Lu & Shouyang Wang, 2009. "Dynamic Linkages Between the China and International Stock Markets," Asia-Pacific Financial Markets, Springer, vol. 16(3), pages 211-230, September. [Downloadable!] (restricted)
  3. Li Yang & Francis Tapon & Yiguo Sun, 2006. "International correlations across stock markets and industries: trends and patterns 1988--2002," Applied Financial Economics, Taylor and Francis Journals, vol. 16(16), pages 1171-1183, November. [Downloadable!] (restricted)
  4. Mukherjee, Dr. Kedar nath & Mishra, Dr. R. K., 2008. "Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts," MPRA Paper 12788, University Library of Munich, Germany. [Downloadable!]
  5. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
  6. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis. [Downloadable!]
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  7. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
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  8. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor and Francis Journals, vol. 10(9), pages 527-533, July. [Downloadable!] (restricted)
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