Choudhry, Taufiq and Lu, Lin
Common stochastic trends smong Far East stock prices: Effects of the Asian financial crisis
At EFMA 2004: European Financial Management Association 2004 Meeting.
30 Jun - 03 Jul 2004.
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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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