Interdependence among the Asian Pacific Stock Market during the Asian Financial Crisis
The paper examines the short run and long run price interdependences among the Asian Pacific equity markets, in the period surrounding the Asian financial crisis. The daily data composed of value weighted equity market indexes of Malaysia, Japan, Hong Kong and Australia, for the period from January 1997 to December 2000 are used. The unit root test, cointegration test, error correction model and causality test are conducted to examine the relationship among these markets. Our results show that there is a stationary long run relationship and significant short run causal linkage for certain cases among the Asian Pacific equity markets. Furthermore, the long run interdependence has strengthened since the onset of the crises. The causal relationships that exist between the developed, and emerging equity markets suggest that opportunities for international portfolio diversification in the Asian Pacific equity markets still exist.
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Volume (Year): VI (2007)
Issue (Month): 4 (July)
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