Modelling evolving long-run relationships: the linkages between stock markets in asia

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Modelling evolving long-run relationships: the linkages between stock markets in asia

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José L. Fernández-Serrano
Simón Sosvilla-Rivero

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Simon Sosvilla-Rivero

Abstract

This paper examines the linkages between the stock markets in Asia during the 1977-1999 period using recently-developed cointegration techniques that allow for structural shifts in the long-run relationship. Our results suggest that, if we apply conventional cointegration tests, we do not find evidence of a long run relationship between the Asian stock markets. In contrast, if we introduce the possibility of structural breaks, we find strong evidence in favour of such relationship between the Taiwanese and Japanese indices from October 1987, while some marginal cointegration is detected between Singapore and Japan until February of 1992 and between Korea and Japan from April 1987.

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Paper provided by FEDEA in its series Working Papers with number 2000-11.

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Article
- Fernandez-Serrano, Jose L. & Sosvilla-Rivero, Simon, 2001. "Modelling evolving long-run relationships: the linkages between stock markets in Asia," Japan and the World Economy, Elsevier, vol. 13(2), pages 145-160, April. [Downloadable!] (restricted)

This paper has been announced in the following NEP Reports:

NEP-ALL-2000-05-08 (All new papers)
NEP-FMK-2000-05-08 (Financial Markets)

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Other versions:
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Other versions:
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Paresh Kumar Narayan & Russell Smyth, 2004. "Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts," Applied Financial Economics, Taylor and Francis Journals, vol. 14(14), pages 991-1004, October. [Downloadable!] (restricted)
Juan J. Dolado & Florentino Felgueroso & Juan F. Jimeno, . "Female Employment and Occupational Changes in the 1990s: How is the EU Performing Relative to the US?," Working Papers 2000-18, FEDEA. [Downloadable!]
Other versions:
- Dolado, J. J. & Felgueroso, F. & Jimeno, J. F., 2001. "Female employment and occupational changes in the 1990s: How is the EU performing relative to the US?," European Economic Review, Elsevier, vol. 45(4-6), pages 875-889, May. [Downloadable!] (restricted)

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