Interdependence Among the Asian Pacific Stock Market During the Asian Financial Crisis

Download or read book Interdependence Among the Asian Pacific Stock Market During the Asian Financial Crisis written by Wan Mansor Mahmood and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.