IDEAS home Printed from https://ideas.repec.org/a/icf/icfjfe/v07y2009i2p74-90.html
   My bibliography  Save this article

The Linkages of Asian and the US Stock Markets

Author

Abstract

The issues of international stock market linkages have already been investigated over the time. Many researchers and economists are concerned about the relationship between the Asian stock markets and others after the Asian Financial Crisis. This paper aims to examine the interrelationship between the Asian stock markets namely, Malaysia, Singapore, the Philippines, Thailand, Indonesia, China, Japan, Korea, and the US stock markets. The data consists of weekly stock indexes. 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 February 2009. The empirical results show that the number of significant cointegrating vector is higher during the crisis periods compared to other periods. Granger-causality based on Vector Error Correction Model (VECM) showed that stock markets of Thailand, Japan and China are exogenous before, during and after the crisis respectively. This paper concludes that the linkages between the Asian and the US stock markets are stronger in the post-crisis period.

Suggested Citation

  • R C Royfaizal & C Lee & M Azali, 2009. "The Linkages of Asian and the US Stock Markets," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 74-90, June.
    • Handle: RePEc:icf:icfjfe:v:07:y:2009:i:2:p:74-90
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
    2. Mustapher Faque & Umit Hacioglu, 2021. "Investigating the impact of Covid-19 pandemic on stock markets:Evidence from global equity indices," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(7), pages 199-219, October.
    3. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:icf:icfjfe:v:07:y:2009:i:2:p:74-90. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: G R K Murty (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.