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Are the Asian Equity Markets more Interdependent after the Financial Crisis?

Author

Listed:
  • Elif Akben

    () (Boðaziçi University)

  • Gökhan Özertan

    () (Boðaziçi University)

  • Aslýhan D. Spaulding

    () (Illinois State University, Normal)

Abstract

This paper examines the impact of the 1997 Asian Financial Crisis on the linkages between the Singapore and five Asian-Pacific stock markets. We show that the interdependence between these markets has intensified after the crisis. Before the crisis, only the Malaysian stock market is found to be cointegrated with Singapore. However, after the onset of the crisis, the stock markets of Hong Kong, Japan, Malaysia and the US are found to be cointegrated with the Singapore stock market.

Suggested Citation

  • Elif Akben & Gökhan Özertan & Aslýhan D. Spaulding, 2008. "Are the Asian Equity Markets more Interdependent after the Financial Crisis?," Economics Bulletin, AccessEcon, vol. 6(16), pages 1-7.
  • Handle: RePEc:ebl:ecbull:eb-08f30013
    as

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    References listed on IDEAS

    as
    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    2. Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
    3. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
    4. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    5. Hsiao, Cheng, 1979. "Causality tests in econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 1(4), pages 321-346, November.
    6. Gerald P. Dwyer & R. W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • F3 - International Economics - - International Finance
    • F3 - International Economics - - International Finance

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