Journal ArticleDOI
Dynamic interdependence between US and Asian markets: an empirical study
TLDR
In this paper, the authors examined the short-term stock market interactions between US and six major Asian markets (Hong Kong, India, Hong Kong, Singapore, South Korea and Taiwan) and also captured the market interactions during the subprime crisis.Abstract:
Purpose – The purpose of this paper is to examine the short‐term stock market interactions between US and six major Asian markets – China, India, Hong Kong, Singapore, South Korea and Taiwan. These six economies along with Japan and Australia have the largest stock exchanges in the Asia‐Pacific region. The importance of the US market to the Asian economies is the prime motivation for a quantitative assessment of its role in this region. The objective of this study is to measure the dynamic stock market interdependence of US and Asian newly industrialized economies (NIEs) (Hong Kong, Singapore, South Korea and Taiwan) and emerging market economies (EMEs) (China and India) post Asian crisis of 1997 and also to capture the market interactions during the sub‐prime crisis.Design/methodology/approach – The study has employed Granger causality tests and generalized forecast error variance decomposition (FEVD) analysis to analyze the fluctuations in and the extent of short‐term interdependence between the US and ...read more
Citations
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The Capital Markets of the Middle East and North Africa (MENA) Region: Situation and Characteristics
T. Lagoarde-Segot,B.M. Lucey +1 more
TL;DR: In this paper, the authors compared market emergence in the Middle and East and North African (MENA) region with other emerging markets, and found that market size and activity seem to affect market emergence, whereas pricing and transparency do not.
Journal ArticleDOI
Stock market comovements among Asian emerging economies: A wavelet-based approach.
TL;DR: It has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR levels of a multi-country portfolio and the association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades.
Journal ArticleDOI
Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region
TL;DR: In this paper, the authors investigated the long-run equilibrium relationship between developed, emerging and frontier markets of the Asia-Pacific region during January 2000 to June 2016, and found that emerging markets provide good diversification opportunities to global investors.
Journal Article
Stock market integration: A review of literature from a global perspective
G. AnjanaRaju,S.P. Velip +1 more
TL;DR: In this paper, the authors gathered around 223 research papers from various sources for a period ranging from 1972 to September 2018, and observed that the stock market integration has been accelerated over a period of time, especially after the two major crises, viz., Asian financial crisis of 1999 and 2008 subprime global financial crisis.
Journal ArticleDOI
Integration between East and Southeast Asian equity markets
TL;DR: In this article, the authors used Johansen's (1988) cointegration method to test long-run relationships among East and Southeast Asian equity markets, using Granger-causality test as well as the forecast variance decomposition method.
References
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Journal ArticleDOI
Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
TL;DR: In this paper, the estimation and testing of long-run relations in economic modeling are addressed, starting with a vector autoregressive (VAR) model, the hypothesis of cointegration is formulated as a hypothesis of reduced rank of the long run impact matrix.
Maximun likelihood estimation and inference on cointegration - With applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models / Søren Johansen
TL;DR: In this paper, the authors present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and constant terms, and show that the asymptotic distribution of the maximum likelihood estimator is mixed Gausssian.
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Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
TL;DR: In this article, the authors derived the likelihood analysis of vector autoregressive models allowing for cointegration and showed that the asymptotic distribution of the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations.
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Generalized Impulse Response Analysis in Linear Multivariate Models
H.Hashem Pesaran,Yongcheol Shin +1 more
TL;DR: This paper proposed a generalized impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models, which does not require orthogonalization of shocks and is invariant to the ordering of the variables in the VAR.