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A spatial–temporal analysis of East Asian equity market linkages

  • Tam, Pui Sun

This paper examines East Asian equity market linkages in and out of the Asian and global financial crises using a novel econometric approach. The market dependence structure and shock transmission mechanism are explored spatially in the time domain, thus offering new insights into the dynamic regional market linkage patterns. Results show that East Asian equity markets are characterized by linkages through significant spatial effects, crises are conducive to increased cross-border linkages especially in the case of China, and Japan is a dominant driver of market linkages in the region.

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Article provided by Elsevier in its journal Journal of Comparative Economics.

Volume (Year): 42 (2014)
Issue (Month): 2 ()
Pages: 304-327

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Handle: RePEc:eee:jcecon:v:42:y:2014:i:2:p:304-327
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