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

  • Fernandez-Serrano, Jose L.
  • Sosvilla-Rivero, Simon

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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Article provided by Elsevier in its journal Japan and the World Economy.

Volume (Year): 13 (2001)
Issue (Month): 2 (April)
Pages: 145-160

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Handle: RePEc:eee:japwor:v:13:y:2001:i:2:p:145-160
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505557

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  1. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
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  10. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
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