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The interdependence of share markets in the developed economies of East Asia

journal contribution
posted on 2023-05-16, 14:41 authored by Leong, S, Felmingham, BS
The interdependence of five East Asian stock price indices is analysed on daily data from July 8, 1990 to July 6, 2000 (n = 2739). A simple correlation analysis of the co-movement of the Singapore Strait Times (SST), Korea Composite (KC), Japanese Nikkei (JN), Taiwan weighted (TW) and Hang Seng (HS) indices reveals that correlation has strengthened since the Asian crisis. Further half of the bivariate pairings of these indices indicates nonbreaking bivariate cointegration, while four are cointegrated subject to a structural break. These results are supported by both multivariate cointegration and ECM. Granger causality applies when cointegration is not evident. The degree of integration among these five SPIs has increased and the opportunities for risk diversification has lessened in the 1990s.

History

Publication title

Pacific-Basin Finance Journal

Volume

11

Pagination

219-237

ISSN

0927-538X

Department/School

TSBE

Publisher

Elsevier Science BV

Place of publication

Amsterdam, Netherlands

Repository Status

  • Restricted

Socio-economic Objectives

Macroeconomics not elsewhere classified

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