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Dynamic linkages of Asian stock markets

This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets, we sp...

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Main Authors: Baharumshah, Ahmad Zubaidi, Sarmidi, Tamat, Tan, Hui Boon
Format: Article
Published: Taylor and Francis Group 2003
Online Access:http://psasir.upm.edu.my/id/eprint/112986/
https://www.tandfonline.com/doi/abs/10.1080/1354786032000074730
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spelling my.upm.eprints.1129862025-01-13T01:33:42Z http://psasir.upm.edu.my/id/eprint/112986/ Dynamic linkages of Asian stock markets Baharumshah, Ahmad Zubaidi Sarmidi, Tamat Tan, Hui Boon This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets, we split the sample into three sub-periods: pre-liberalization (1988-91), post-liberalization (1992-96) and post-crisis (1997-99) periods. The empirical results suggest that all the Asian markets are closely linked with each other and with the world capital markets, namely those of the US and Japan, over the post-liberalization era. Overall, the evidence shows that the degree of integration between the Asian emerging markets and the US increased following the deregulation period, and that the relationship has intensified since the onset of the Asian crisis. There is no evidence to show that Japan has overtaken the US in dominating the Asian equity markets. In addition, our results show that the interrelationship among the Asian national markets has been affected by the crisis. Specifically, the crisis-affected countries of Malaysia and Thailand are increasingly interrelated with South Korea and Taiwan in the post-crash period. Taylor and Francis Group 2003 Article PeerReviewed Baharumshah, Ahmad Zubaidi and Sarmidi, Tamat and Tan, Hui Boon (2003) Dynamic linkages of Asian stock markets. Journal of the Asia Pacific Economy, 8 (2). pp. 180-209. ISSN 1354-7860; eISSN: 1469-9648 https://www.tandfonline.com/doi/abs/10.1080/1354786032000074730 10.1080/1354786032000074730
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
description This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets, we split the sample into three sub-periods: pre-liberalization (1988-91), post-liberalization (1992-96) and post-crisis (1997-99) periods. The empirical results suggest that all the Asian markets are closely linked with each other and with the world capital markets, namely those of the US and Japan, over the post-liberalization era. Overall, the evidence shows that the degree of integration between the Asian emerging markets and the US increased following the deregulation period, and that the relationship has intensified since the onset of the Asian crisis. There is no evidence to show that Japan has overtaken the US in dominating the Asian equity markets. In addition, our results show that the interrelationship among the Asian national markets has been affected by the crisis. Specifically, the crisis-affected countries of Malaysia and Thailand are increasingly interrelated with South Korea and Taiwan in the post-crash period.
format Article
author Baharumshah, Ahmad Zubaidi
Sarmidi, Tamat
Tan, Hui Boon
spellingShingle Baharumshah, Ahmad Zubaidi
Sarmidi, Tamat
Tan, Hui Boon
Dynamic linkages of Asian stock markets
author_facet Baharumshah, Ahmad Zubaidi
Sarmidi, Tamat
Tan, Hui Boon
author_sort Baharumshah, Ahmad Zubaidi
title Dynamic linkages of Asian stock markets
title_short Dynamic linkages of Asian stock markets
title_full Dynamic linkages of Asian stock markets
title_fullStr Dynamic linkages of Asian stock markets
title_full_unstemmed Dynamic linkages of Asian stock markets
title_sort dynamic linkages of asian stock markets
publisher Taylor and Francis Group
publishDate 2003
url http://psasir.upm.edu.my/id/eprint/112986/
https://www.tandfonline.com/doi/abs/10.1080/1354786032000074730
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score 13.244413

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