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Common stochastic trends among far east stock prices: effects of the asian financial crisis

Common stochastic trends among far east stock prices: effects of the asian financial crisis
Common stochastic trends among far east stock prices: effects of the asian financial crisis
This paper investigates empirically the change(s) in the long-run relationship(s) between the stock prices of eight Far East countries around the Asian financial crisis of 1997-1998. Further tests are conducted to check the change in the influence of the Japanese and the US stock markets in the Far East Region before, during and after the crisis.

Empirical investigation is conducted by means of rolling correlation coefficients, the Johansen multivariate cointegration method, causality tests and band spectrum regression.

Results show significant long-run relationship(s) and linkage between the Far East markets before, during, and after the crisis. The most significant linkage and relationship are found during the crisis period. Results mostly indicate larger US influence in all periods but some evidence of increasing Japanese influence is also shown.
financial crisis, cointegration, rolling correlation coefficient, BSR
1057-5219
242-261
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Lu, Lin
08f3a621-ca69-4283-9146-5c656548254e
Peng, Ke
4ba591b1-6929-468c-a9a7-c948297e3aa0
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Lu, Lin
08f3a621-ca69-4283-9146-5c656548254e
Peng, Ke
4ba591b1-6929-468c-a9a7-c948297e3aa0

Choudhry, Taufiq, Lu, Lin and Peng, Ke (2007) Common stochastic trends among far east stock prices: effects of the asian financial crisis. International Review of Financial Analysis, 16 (3), 242-261. (doi:10.1016/j.irfa.2006.12.001).

Record type: Article

Abstract

This paper investigates empirically the change(s) in the long-run relationship(s) between the stock prices of eight Far East countries around the Asian financial crisis of 1997-1998. Further tests are conducted to check the change in the influence of the Japanese and the US stock markets in the Far East Region before, during and after the crisis.

Empirical investigation is conducted by means of rolling correlation coefficients, the Johansen multivariate cointegration method, causality tests and band spectrum regression.

Results show significant long-run relationship(s) and linkage between the Far East markets before, during, and after the crisis. The most significant linkage and relationship are found during the crisis period. Results mostly indicate larger US influence in all periods but some evidence of increasing Japanese influence is also shown.

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More information

Published date: January 2007
Keywords: financial crisis, cointegration, rolling correlation coefficient, BSR
Organisations: Management

Identifiers

Local EPrints ID: 80475
URI: https://eprints.soton.ac.uk/id/eprint/80475
ISSN: 1057-5219
PURE UUID: 5b5862dc-87e4-44b6-9bd9-c2b849eca783

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Date deposited: 24 Mar 2010
Last modified: 18 Jul 2017 23:13

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Contributors

Author: Taufiq Choudhry
Author: Lin Lu
Author: Ke Peng

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