Common stochastic trends smong Far East stock prices: Effects of the Asian financial crisis
Common stochastic trends smong Far East stock prices: Effects of the Asian financial crisis
This paper investigates the effect of the Asian financial crisis of 1997-98 on the long-run relationship(s) between the stock prices of Far East countries. Further tests are conducted to check the change in the dominance of the Japanese and the US stock markets in the Far East Region. Empirical investigations are conducted by means of fractional unit root tests and the Johansen multivariate cointegration method.
Cointegration results show significant long-run relationship(s) between the Far East markets before and during/after the crisis. The size of the normalized coefficients and the speed of rate of adjustment may indicate the dominance of the Japanese market as compared to the US market in the region during both periods.
financial crisis, cointegration, Johansen method
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Lu, Lin
08f3a621-ca69-4283-9146-5c656548254e
2004
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Lu, Lin
08f3a621-ca69-4283-9146-5c656548254e
Choudhry, Taufiq and Lu, Lin
(2004)
Common stochastic trends smong Far East stock prices: Effects of the Asian financial crisis.
EFMA 2004: European Financial Management Association 2004 Meeting, Basel, Switzerland.
29 Jun - 02 Jul 2004.
Record type:
Conference or Workshop Item
(Paper)
Abstract
This paper investigates the effect of the Asian financial crisis of 1997-98 on the long-run relationship(s) between the stock prices of Far East countries. Further tests are conducted to check the change in the dominance of the Japanese and the US stock markets in the Far East Region. Empirical investigations are conducted by means of fractional unit root tests and the Johansen multivariate cointegration method.
Cointegration results show significant long-run relationship(s) between the Far East markets before and during/after the crisis. The size of the normalized coefficients and the speed of rate of adjustment may indicate the dominance of the Japanese market as compared to the US market in the region during both periods.
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Published date: 2004
Venue - Dates:
EFMA 2004: European Financial Management Association 2004 Meeting, Basel, Switzerland, 2004-06-29 - 2004-07-02
Keywords:
financial crisis, cointegration, Johansen method
Identifiers
Local EPrints ID: 37459
URI: http://eprints.soton.ac.uk/id/eprint/37459
PURE UUID: 6854bfec-80cb-43f7-926a-da8b653354ff
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Date deposited: 31 May 2006
Last modified: 12 Dec 2021 03:12
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Contributors
Author:
Lin Lu
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