Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises
Worthington, Andrew C., Katsuura, Masaki, & Higgs, Helen (2003) Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises. Asia-Pacific Financial Markets, 10(1), pp. 29-44.
This paper examines price linkages among Asian equity markets in the period surrounding the recent Asian economic, financial and currency crises. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. Multivariate cointegration and level VAR procedures are conducted to examine causal relationships among these markets. The results indicate that there is a stationary relationship and significant causal linkages between the Asian equity markets. Nevertheless, lower causal relationships that exist between the developed and emerging equity markets suggest that opportunities for international portfolio diversification in Asian equity markets still exist.
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|Item Type:||Journal Article|
|Keywords:||Financial integration, international portfolio diversification, market efficiency|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > International Economics and International Finance (140210)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2003 Springer|
|Copyright Statement:||The original publication is available at SpringerLink
|Deposited On:||17 Nov 2005 00:00|
|Last Modified:||10 Aug 2011 15:05|
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