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Interrelationships among regional stock indices

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  • Orawan Ratanapakorn
  • Subhash C Sharma

Abstract

This study investigates the short‐run and long‐run relationships among stock indices of the US, Europe, Asia, Latin America, and Eastern Europe–Middle East for the pre‐Asian crisis and for the crisis period. The findings from these two periods are compared and contrasted. No long‐run relationship is observed among these indices during the pre‐Asian crisis period. However, during the crisis period, one significant cointegrating vector is observed and more short‐run (i.e., causal) relations are observed in this period as compared to the pre‐crisis period. Based on the analysis, we infer that during the Asian crisis period, the globalization increased and only the European markets directly effected the US market, while the other regional markets indirectly influenced the US market via the European market. As regards the effect of shocks, we observe that during the pre‐Asian crisis period, the response of all regional markets to shocks in other markets is transitory, whereas during the crisis period, the response of the US stock market is transitory but that of EU market is permanent to all other markets.

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  • Orawan Ratanapakorn & Subhash C Sharma, 2002. "Interrelationships among regional stock indices," Review of Financial Economics, John Wiley & Sons, vol. 11(2), pages 91-108.
    • Handle: RePEc:wly:revfec:v:11:y:2002:i:2:p:91-108
    DOI: 10.1016/S1059-0560(02)00103-X
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    6. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    7. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Dosse Toulaboe, 2022. "Cointegration of Equity Markets in Three Country Groups of OECD Countries," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 10(1), pages 11-31.
    9. Nafeesa Yunus, 2023. "Co‐movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 393-436, June.
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