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Common stochastic trends smong Far East stock prices: Effects of the Asian financial crisis

Record type: Conference or Workshop Item (Paper)

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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Citation

Choudhry, Taufiq and Lu, Lin (2004) 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.

More information

Published date: 2004
Venue - Dates: EFMA 2004: European Financial Management Association 2004 Meeting, 2004-06-30 - 2004-07-03
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

Catalogue record

Date deposited: 31 May 2006
Last modified: 17 Jul 2017 15:42

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Contributors

Author: Taufiq Choudhry
Author: Lin Lu

University divisions


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