Royfaizal, R. C and Lee, C and Mohamed, Azali (2007): ASEAN-5+3 AND US STOCK MARKETS INTERDEPENDENCE BEFORE, DURING AND AFTER ASIAN FINANCIAL CRISIS.
Download (253kB) | Preview
The issues of international stock markets linkages had been investigated over the time. Since the Asian financial crisis in 1997, many economists are concerned about the relationship between Asian stock markets and others in the world. This paper is conducted to examine the linkages between ASEAN-5+3 namely Malaysia, Singapore, the Philippines, Thailand, Indonesia, China, Japan and Korea and US stock markets. The data consists of weekly stock indices data. The total samples are separated into three subperiods. First period is pre-crisis period spanning from January 1990 to June 1997. Second period is during-crisis period spanning from July 1997 to June 1998. Third period is post-crisis period spanning from July 1998 to May 2007. All the indices applied are expressed in local currencies. The empirical analysis begins with testing the stationarity properties of the data. All the countries are found to be stationary at first difference except for Japan for pre-crisis period. Next, cointegration test is employed to test the long-run stationary relationship among the stock markets. The number of significant cointegrating vector is higher during-crisis compare to other periods whereas the same number of cointegrating vector is found before and after crisis. Granger-causality based on VECM showed that Thailand is exogenous whereby Malaysia is the most endogenous at before and during the crisis. After the crisis, US become dominant compare to the other countries. In conclusion, we found that ASEAN- 5+3 and US stock markets are interdependence during crisis and post-crisis periods and the impact of US stock market is effective in ASEAN-5+3 stock markets only for pre and during-crisis periods
|Item Type:||MPRA Paper|
|Original Title:||ASEAN-5+3 AND US STOCK MARKETS INTERDEPENDENCE BEFORE, DURING AND AFTER ASIAN FINANCIAL CRISIS|
|Keywords:||Stock markets, Cointegration, Granger-causality, ASEAN|
|Subjects:||F - International Economics > F0 - General
G - Financial Economics > G0 - General
|Depositing User:||M. Azali|
|Date Deposited:||09. Sep 2008 09:32|
|Last Modified:||13. Feb 2013 06:31|
Arshanapalli B, Doukas J, and Lang L. H. P,: Pre and Post-October 1987 Stock Market Linkages Between U.S. and Asian Markets. Pasific-Basin Finance Journal, 3, 1995:57-73.
Azman-Saini W. N. W, Azali M, Habibullah M. S. and Matthews K.G.: Financial Integration and The ASEAN-5 Equity Markets. Applied Economics, 34, 2002:2283-2288.
Choudhry T, Lu L and Peng Ke: Common Stochastic Trends Among Far East Stock Prices: Effects of the Asian Financial Crisis. International Review of Financial Analysis, 16, 2007:242-261.
Click R. W, and Plummer M. G,: Stock Market Integration in ASEAN after the Asian Financial Crisis. Journal of Asian Economics, 16, 2005:5-28.
Dickey D. A, and Fuller W. A,: Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 1979:427-431.
Dickey D. A, and Fuller W. A,: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49, 1981:1057-1072.
Engle R. F, and Granger C. W. J,: Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55, 1987:251-276.
Granger C. W. J,: Some Recent Developments in a Concept of Causality. Journal of Econometrics, 39, 1988:199–211.
Jang H, and Sul W,: The Asian Financial Crisis and The Co-movement of Asian Stock Markets. Journal of Asian Economics, 13, 2002:94-104.
Johansen S,: Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control, 12, 1988:231–254.
Johansen S,: Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59, 1991:1551–1580.
Johansen S, and Juselius K,: The Full Information Maximum Likelihood Procedure for Inference on Cointegration—with Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52, 1990:169–210.
Kearney C, and Lucey B. M,:International Equity Market Integration: Theory, Evidence and Implications. International Review of Financial Analysis, 13(5); 2004:571-83.
Manning N,: Common Trends and Convergence? South East Asian Equity Markets,1988-1999. Journal of International Money and Finance, 21, 2002:183-202.
Phengpis C, and Apilado V. P,: Economic Interdependence and Common Stochastic Trends: A Comparative Analysis between EMU and Non-EMU Stock Markets. International Review of Financial Analysis, 13 (3), 2004:245-263.
Phillips P, and Perron P,: Testing for a unit root in time series regression. Biometrika, 75, 1988:335–346.
Sheng H. C, and Tu A. H,: A Study of Cointegration and Variance Decomposition Among National Equity Indices Before and During the Period of the Asian Financial Crisis, Journal of Multinational Financial Management, 10, 2000:345-365.