Interdependence Among the Asian Pacific Stock Market During the Asian Financial Crisis PDF Download
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Author: Wan Mansor Mahmood
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the short-run and long-run price interdependence among the Asian Pacific equity markets in the period surrounding the Asian financial crisis. The daily data from January 1997 to December 2000 composed of value weighted equity market indices for Malaysian, Japan, Hong Kong and Australia are used. The unit root test, cointergration test, error correction model and the causality tests are conducted to examine the relationship among these markets. Our results show that there is a stationary long-run relationship and a significant short-run causal linkage for certain cases among 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 Asian Pacific equity markets still exist.
Author: Wan Mansor Mahmood
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the short-run and long-run price interdependence among the Asian Pacific equity markets in the period surrounding the Asian financial crisis. The daily data from January 1997 to December 2000 composed of value weighted equity market indices for Malaysian, Japan, Hong Kong and Australia are used. The unit root test, cointergration test, error correction model and the causality tests are conducted to examine the relationship among these markets. Our results show that there is a stationary long-run relationship and a significant short-run causal linkage for certain cases among 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 Asian Pacific equity markets still exist.
Author: Eduardo Roca
Publisher: Routledge
ISBN: 1000160378
Category : Social Science
Languages : en
Pages : 115
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Book Description
This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
Author: Wenzhong Fan
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
The primary aim of this study is to examine both the integration hypothesis and the short- and long-term dynamic causal linkage in the Asia-Pacific region. Employing recently advanced unit root and cointegration techniques that accommodate structural breaks and GARCH effects, this analysis will provide not only an indication of the direction of interaction but a quantitative assessment of the degree of interdependence among specific markets, in particular the intra-regional impact in Asia-Pacific. Our empirical results suggest that Asia-Pacific stock market indices are highly integrated, and the stock market crash in 1987, as well as the Asian financial crises had a statistically significant impact on the long-term relations among Asian emerging stock markets.
Author: Abhishek Tripathi
Publisher:
ISBN:
Category :
Languages : en
Pages : 9
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Book Description
Due to Liberalization there will be emergence in stock markets. It has been observed that there has been increasing interdependence between most of the developed and emerging stock markets since the 1987 Stock Market Crash. This interdependence intensified after the 1997 Asian Financial Crisis. Objective of this paper is to examine the co-movement between selected stock market of different economies such as Asian, European and USA stock markets by using correlation technique. With the help of this technique we are able to identify the correlation between USA & European market, Asian & European market and Asian and USA markets. To examine the relationship among selected Asian countries, European and United States of America we are able to identify the correlation between return index of selected stock exchange.
Author: Herald van der Linde
Publisher: Marshall Cavendish International Asia Pte Ltd
ISBN: 9815009524
Category : Business & Economics
Languages : en
Pages : 274
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Book Description
A summary of how stock markets work for those looking to invest. This book is a practical guide to Asia’s stock markets for a general audience. It is for people who do not know much about financial markets but, for whatever reason, would like to learn more. They could be seasoned expatriate pilots, academics and other professionals, newcomers in the region as well as students or young men and women about to start in the finance industry. The idea is to cut through the alphabet soup of industry jargon to provide a clear understanding of how these markets work, how they differ from each other in size and depth, what unique features each stock market has and what drives all the different sectors in these markets – consumers, the internet, banks and technology. The book includes helpful history lessons and personal anecdotes drawn from the author’s 30 years in the world of Asian investments.
Author: Raisul Islam
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A comparative assessment of Asian markets during the Asian Financial Crisis and Global Financial crisis may clearly identify the changing nature of long term integration of major Asian markets. The selection criteria of specific Asian markets of different peripheries depend particularly on the roles and structure of these markets. The impact of the global financial contagion and the lingering financial linkage in the aftermath of crisis will explain the reaction of the majority of Asian markets to global linkage. While majority of the studies focused on dynamic short term association in European and MENA contagions in the post global financial crisis period; after the global financial crisis, attention paid to long term Asian contagion adds new perspective to hitherto disorganized theories.
Author: Ritankitashree Pathak
Publisher: Faculty of Commerce Banaras Hindu University
ISBN: 9787333240730
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
Stock market interdependence can be understood as the process through which markets become closely integrated with its neighboring markets or the markets of the rest of the world without any administrative or economic barriers. This implies free flow of capital from one market to the other leading to better allocation of capital, development of markets, risk diversification as well as the development of financially unstable and less developed markets. It has been defined by different researchers differently. Classical ideology connote that markets are integrated because 'The Law of One Price' holds good i.e. the returns on assets are identical irrespective of the domicile of the investor or the issuer (Pagano, 2007). Market interdependence imply that markets are integrated when participants face single set of rules and have equal access to all financial instruments and services thereon and are treated as equal while being active in the market (Fakhr & Tayabi, 2009). It is stated as a process by which segmented markets get unified and the participants enjoy same access across markets (Jain & Bhanumurthy, 2005).
Author: Stefanie Kleimeier
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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Book Description
This paper presents a framework based on correlation analysis to test for contagion during the episode of financial turmoil surrounding the Asian crisis. In particular, we calculate conditional and unconditional correlation coefficients for 15 countries. We advocate the use of synchronous instead of synchronized data to correctly measure stock market comovements. Considering the two different phases of the Asian crisis, reveals that synchronized data lead to an over-identification of contagion for the early Thailand crisis phase but an under-identification of contagion during the late Hong Kong crisis phase. When using synchronous data, we find little evidence of a significant change in the transmission mechanisms from Thailand to any of the other country in our sample as most financial shocks are thus transmitted through non-crisis-contingent channels. Contrary to the Thailand finding, we find evidence of contagion from the Hong Kong stock market to most of the other stock markets in our sample. This is in contrast with the findings of Forbes and Rigobon (2002) and suggests that most shocks are transmitted through crisis-contingent channels. Overall, our findings should caution researchers and practitioners alike when drawing conclusions based on synchronized data.
Author: Leo H. Chan
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
Empirical studies support evidence of major financial markets affecting minor markets. During the Asian Crisis, however, major markets, such as the US and Japan, reacted to the problems in smaller markets such as Hong Kong and Singapore. In this paper we apply a VAR model to capture the changes in the dynamic relationship among stock markets in Hong Kong, Singapore, Japan and the US. A multivariate stochastic volatility model (SVM) is also utilized to study the correlations in volatility among these markets to determine the impacts of the Crisis. We find strong lead-effect of Hong Kong market returns over the US market returns during the Crisis. Our results also show strong overacting behavior among investors across these markets during the Crisis. We also find that the Crisis period was marked by higher volatilities and stronger spillover effects across these markets.
Author: Eduardo Roca
Publisher: Routledge
ISBN: 1000114023
Category : Business & Economics
Languages : en
Pages : 184
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Book Description
This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
