Structural change and international stock market interdependence: Evidence from Asian emerging markets

abstract

• This study investigates the evolving pattern of the interdependence among selected Asian emerging markets and three major stock markets (Japan, UK and US). Using rolling cointegration methods and the recently developed algorithms of inductive causation, we found that time-varying cointegration relationships exist among these stock markets. The results indicate that the wave of financial liberalization policies in the early 1990s led to a significant increase in market linkages which was later weakened during the 1997 Asian financial crisis. Furthermore, the data indicate that Japan and the US have the greatest influence on the emerging markets while the influence of Singapore and Thailand has increased since the Asian financial crisis.

authors

• Bessler, David

published proceedings

• ECONOMIC MODELLING

altmetric score

• 3

author list (cited authors)

• Awokuse, T. O., Chopra, A., & Bessler, D. A.

citation count

• 39

complete list of authors

• Awokuse, Titus O||Chopra, Aviral||Bessler, David A

publication date

• May 2009

publisher

• Elsevier  Publisher

published in

• Economic Modelling  Journal

keywords

• Asian Stock Markets
• Directed Acyclic Graphs
• Rolling Cointegration Analysis

Digital Object Identifier (DOI)

• 10.1016/j.econmod.2008.12.001

start page

• 549

end page

• 559

volume

• 26

issue

• 3

URL

• http://dx.doi.org/10.1016/j.econmod.2008.12.001