International Business Management

Year: 2018
Volume: 12
Issue: 2
Page No. 163 - 188

The 2007-09 US Crisis Impact on Asian Stock Markets Integration and Dynamic Linkages-An Introspect

Authors : RanjanDasgupta

References

Anonymous, 2009. Regional economic outlook (Asia and pacific). International Monetary Fund, Washington, USA.

Atmadja, A.S., Y. Wu and W. Juli, 2014. Market integration and financial crisis: New evidence from Asian pacific markets. Indonesian Capital Market Rev., 2: 33-49.
CrossRef  |  Direct Link  |  

Bekaert, G. and C.R. Harvey, 1995. Time‐varying world market integration. J. Finance, 50: 403-444.
CrossRef  |  Direct Link  |  

Bekaert, G., C.R. Harvey and R.L. Lumsdaine, 2002. Dating the integration of world equity markets. J. Financial Econ., 65: 203-247.
CrossRef  |  

Bessler, D.A. and J. Yang, 2003. The structure of interdependence in international stock markets. J. Intl. Money Finance, 22: 261-287.
Direct Link  |  

Brooks, C., 2002. Introductory Econometrics for Finance. 1st Edn., Cambridge University Press, London, England, UK., Pages: 703.

Byers, J.D. and D.A. Peel, 1993. Some evidence on the interdependence of national stock markets and the gains from international portfolio diversification. Appl. Financial Econ., 3: 239-242.
Direct Link  |  

Chen, C.W., R. Gerlach, N.Y. Cheng and Y.L. Yang, 2009. The impact of structural breaks on the integration of the ASEAN-5 stock markets. Math. Comput. Simul., 79: 2654-2664.
CrossRef  |  

Chen, G.M., M. Firth and O.M. Rui, 2002. Stock market linkages: Evidence from Latin America. J. Banking Finance, 26: 1113-1141.
CrossRef  |  Direct Link  |  

Cheng, H. and J.L. Glascock, 2006. Stock market linkages before and after the Asian financial crisis: Evidence from three greater China economic area stock markets and the US. Rev. Pac. Basin Financial Markets Policies, 9: 297-315.
Direct Link  |  

Cheung, W., S. Fung and S.C. Tsai, 2010. Global capital market interdependence and spillover effect of credit risk: Evidence from the 2007-2009 global financial crisis. Appl. Financial Econ., 20: 85-103.
Direct Link  |  

Cheung, Y.L. and S.C. Mak, 1992. The international transmission of stock market fluctuation between the developed markets and the Asian-Pacific markets. Appl. Financial Econ., 2: 43-47.
CrossRef  |  

Cheung, Y.L. and Y.K. Ho, 1991. The intertemporal stability of the relationships between the Asian emerging equity markets and the developed equity markets. J. Bus. Finance Accounting, 18: 235-253.
CrossRef  |  Direct Link  |  

Choudhry, T., L. Lu and K. Peng, 2007. Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis. Intl. Rev. Financial Anal., 16: 242-261.
CrossRef  |  

Click, R.W. and M.G. Plummer, 2005. Stock market integration in ASEAN after the Asian financial crisis. J. Asian Econ., 16: 5-28.
CrossRef  |  

Cournot, A.A. and I. Fisher, 1927. Researches into the Mathematical Principles of the Theory of Wealth (Terry Bacon Translated). Macmillan Publishers, Basingstoke, UK., Pages: 213.

Dasgupta, R., 2013. India’s integration and dynamic linkages with world emerging economies and the US-opportunities for portfolio diversification. Intl. Res. J. Finance Econ., 117: 225-245.

Dasgupta, R., 2016. Integration and dynamic linkages in international stock markets in light of the recent US financial crisis-an introspect. J. Econ. Econ. Educ. Res., 17: 29-55.
Direct Link  |  

Dasgupta, R., 2016. International portfolio diversification-role of emerging economies-US integration and dynamic linkages: An empirical study. Intl J. Econ. Finance, 8: 100-117.
CrossRef  |  

DeFusco, R.A., J.M. Geppert and G.P. Tsetsekos, 1996. Long‐run diversification potential in emerging stock markets. Financial Rev., 31: 343-363.
CrossRef  |  Direct Link  |  

Dickey, D.A. and W.A. Fuller, 1979. Distributions of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc., 74: 427-431.
Direct Link  |  

Dickey, D.A. and W.A. Fuller, 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49: 1057-1072.
CrossRef  |  Direct Link  |  

Engle, R.F. and C.W.J. Granger, 1987. Co-integration and error correction: Representation, estimation and testing. Econometrica, 55: 251-276.
CrossRef  |  Direct Link  |  

Forbes, K.J. and R. Rigobon, 2002. No Contagion, only interdependence: Measuring stock markets comovements. The J. Finan., 57: 2223-2261.
CrossRef  |  Direct Link  |  

Gerlach, R., P. Wilson and R. Zurbruegg, 2006. Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-pacific real estate markets. J. Intl Money Finance, 25: 974-991.
CrossRef  |  

Glick, R. and M. Hutchison, 2013. China's financial linkages with Asia and the global financial crisis. J. Intl Money Finance, 39: 186-206.
CrossRef  |  

Goh, K.L., Y.C. Wong and K.L. Kok, 2005. Financial crisis and intertemporal linkages across the ASEAN-5 stock markets. Rev. Quant. Finance Accounting, 24: 359-377.
CrossRef  |  

Gokay, B., 2009. The 2008 world economic crisis: Global shifts and faultlines. MBA Thesis, University of Ottawa, Ottawa, Ontario.

Graham, M., J. Kiviaho and J. Nikkinen, 2012. Integration of 22 emerging stock markets: A three-dimensional analysis. Global Finance J., 23: 34-47.
Direct Link  |  

Granger, C.W.J., 1969. Investigating causal relationships by economic models and cross-spectral models. Econometrica, 37: 424-438.
Direct Link  |  

Gupta, R. and F. Guidi, 2012. Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets. Intl. Rev. Financial Anal., 21: 10-22.
CrossRef  |  

Hakkio, C.S. and M. Rush, 1991. Cointegration: How short is the long run? J. Int. Money Finance, 10: 571-581.
CrossRef  |  

Hassan, M.K. and A. Naka, 1996. Short-run and long-run dynamic linkages among international stock markets. Intl. Rev. Econ. Finance, 5: 387-405.
Direct Link  |  

Hooker, M.A., 1993. Testing for cointegration: Power versus frequency of observation. Econ. Lett., 41: 359-362.
Direct Link  |  

Huyghebaert, N. and L. Wang, 2010. The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration? China Econ. Rev., 21: 98-112.
CrossRef  |  

Huyghebaert, N. and L. Wang, 2010. The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration? China Econ. Rev., 21: 98-112.
CrossRef  |  

Ibrahim, M.H., 2006. Integration or segmentation of the Malaysian equity market: An analysis of pre-and post-capital controls. J. Asia Pac. Econ., 11: 424-443.
CrossRef  |  

Islam, R., 2014. A comparison of the long term interdependence of Southeast Asian equity markets. J. East Asian Econ. Integr., 18: 187-212.
Direct Link  |  

Islam, R., M.T. Islam and S. Sharmin, 2013. Testing for contagion, volatility spillover and regime shift among three strong, quasi strong and semi strong South-Asian economies in presence and absence of US Accession: A VECH (1, 1) Approach. Intl. Res. J. Finance Econ., 106: 78-92.

Johansen, S. and K. Juselius, 1990. Maximum likelihood estimation and inference on cointegration-with applications to the demand for money. Oxford Bull. Econ. Stat., 52: 169-210.
CrossRef  |  Direct Link  |  

Johansen, S., 1988. Statistical analysis of cointegration vectors. J. Econ. Dyn. Control, 12: 231-254.
CrossRef  |  Direct Link  |  

Karolyi, G.A. and R.M. Stulz, 1996. Why do markets move together? An investigation of US‐Japan stock return comovements. J. Finance, 51: 951-986.
CrossRef  |  Direct Link  |  

Kasa, K., 1992. Common stochastic trends in international stock markets. J. Monetary Econ., 29: 95-124.
CrossRef  |  Direct Link  |  

Kearney, C. and B.M. Lucey, 2004. International equity market integration: Theory, evidence and implications. Inter. Rev. Financial Ana., 13: 571-583.
CrossRef  |  

Lahiri, K. and N. Mamingi, 1995. Testing for cointegration: Power versus frequency of observation-another view. Econ. Lett., 49: 121-124.
Direct Link  |  

Lee, S.B. and K.J. Kim, 1993. Does the October 1987 crash strengthen the co-movements among national stock markets?. Rev. Financial Econ., 3: 89-102.
Direct Link  |  

Lee, S.P. and M. Isa, 2014. Stock market integration and the impact of the subprime financial crisis: A Malaysian perspective. Asian J. Bus. Accounting, 7: 29-54.
Direct Link  |  

Leong, S.C. and B. Felmingham, 2003. The interdependence of share markets in the developed economies of East Asia. Pac. Basin Finance J., 11: 219-237.
CrossRef  |  

Lin, W.L., R.F. Engle and T. Ito, 1994. Do bulls and bears move across borders? International transmission of stock returns and volatility. Rev. Financial Stud., 7: 507-538.
Direct Link  |  

Lintner, J., 1965. Security prices, risk and maximal gains from diversification. J. Finance, 20: 587-615.
CrossRef  |  Direct Link  |  

Longin, F. and B. Solnik, 1995. Is the correlation in international equity returns constant: 1960-1990? J. Int. Money Finance, 14: 3-26.
CrossRef  |  

Longin, F. and B. Solnik, 2001. Extreme correlation of international equity markets. J. Finance, 56: 649-676.
CrossRef  |  Direct Link  |  

Markowitz, H., 1952. Portfolio selection. J. Finance, 7: 77-91.
CrossRef  |  Direct Link  |  

Marshall, A., 1930. Principles of Economics: An Introductory Volume. 8th Edn., Macmillan Publishers, London, England, UK., Pages: 871.

Masih, A.M.M. and R. Masih, 1999. Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets. Pacific-Basin Finance J., 7: 251-282.
Direct Link  |  

Morales, L. and B. Andresso-O'Callaghan, 2009. The current global financial crisis: Do Asian stock markets show contagious or interdependency effects?. Proceedings of the 15th Euro-Asia Conference on Pau, September 10-11, 2009, DIT, Dublin, Ireland, pp: 1-23.

Ng, T.H., 2002. Stock market linkages in South-East Asia. Asian Econ. J., 16: 353-377.
CrossRef  |  Direct Link  |  

Ozdemir, Z.A., H. Olgun and B. Saracoglu, 2009. Dynamic linkages between the center and periphery in international stock markets. Res. Int. Bus. Finance, 23: 46-53.
CrossRef  |  Direct Link  |  

Phillips, P.C.B. and P. Perron, 1988. Testing for a unit root in time series regression. Biometrika, 75: 335-346.
Direct Link  |  

Ross, S.A., 1976. The arbitrage theory of capital asset pricing. J. Econ. Theory, 13: 341-360.
CrossRef  |  Direct Link  |  

Sephton, P.S. and H.K. Larsen, 1991. Tests of exchange market efficiency: Fragile evidence from cointegration tests. J. Intl Money Finance, 10: 561-570.
Direct Link  |  

Sharpe, W.F., 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance, 19: 425-442.
CrossRef  |  Direct Link  |  

Sheng, H.C. and A.H. Tu, 2000. A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis. J. Multinational Financial Manage., 10: 345-365.
Direct Link  |  

Taylor, M.P. and I. Tonks, 1989. The internationalisation of stock markets and the abolition of UK exchange control. Rev. Econ. Stat., 71: 332-336.
CrossRef  |  Direct Link  |  

Verchenko, O., 2000. Potential for portfolio diversification across Eastern European stock markets. MBA Thesis, National University Kyiv-Mohyla Academy, Kiev, Ukraine.

Yang, J., J.W. Kolari and I. Min, 2003. Stock market integration and financial crises: The case of asia. Applied Financial Econ., 13: 477-486.
CrossRef  |  Direct Link  |  

Yoshida, Y., 2010. Is this time different for Asia? Evidence from stock markets. Master Thesis, Faculty of Economics, Kyushu Sangyo University, Fukuoka, Japan.

Design and power by Medwell Web Development Team. © Medwell Publishing 2024 All Rights Reserved