Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises
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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
© Kluwer Academic Publishers 2003. This is an electronic version of an article published in Asia-Pacific Financial Markets, Volume 10, Issue 1, pp 29–44, 2003. Asia Pacific Financial Markets is available online at: http://link.springer.com/ with the open URL of your article.