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The Impact of Asian Financial Crisis and the Spillover Effects on Three Pacific-Basin Stock Markets - Malaysia, Singapore and Hong Kong

Citation

Raghavan, MV, The Impact of Asian Financial Crisis and the Spillover Effects on Three Pacific-Basin Stock Markets - Malaysia, Singapore and Hong Kong, The ICFAI Journal of Applied Finance, 14, (5) pp. 5-16. ISSN 0972-5105 (2008) [Refereed Article]


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Copyright 2008 ICFAI University Press

Abstract

The empirical results provide three interesting findings. First, the results indicate that both the US and the Japanese markets appear to be playing a significant role in transmitting the mean and volatility spillover effects in the Pacific-Basin region. Second, while the US market appeared to be more influential during the pre-crisis period, the Japanese market seems to have gained momentum in the post-crisis period. Lastly, the influence of the US and the Japanese markets on the Malaysian market has somewhat weakened dring the post-crisis period, while for Singapore, the magnitude of the mean and the spillover effect from these two countries has increaed. As for Hong Kong the US market tends to be more influential than the Japanese market.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:Financial Economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Raghavan, MV (Dr Mala Raghavan)
ID Code:80707
Year Published:2008
Deposited By:Economics and Finance
Deposited On:2012-11-08
Last Modified:2013-07-10
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