Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises
MetadataShow full item record
This paper examines price linkages among Asian equity markets in the period surrounding the recent Asian economic, financial and currency crises. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. Multivariate cointegration and level VAR procedures are conducted to examine causal relationships among these markets. The results indicate that there is a stationary relationship and significant causal linkages between the Asian equity markets. Nevertheless, lower causal relationships that exist between the developed and emerging equity markets suggest that opportunities for international portfolio diversification in Asian equity markets still exist.
Asia-Pacific Financial Markets
Copyright 2003 John Wiley & Sons, Ltd. Self-archiving of the author-manuscript version is not yet supported by this publisher. Please refer to the journal link for access to the definitive, published version or contact the author for more information.