International Financial Integration: An Empirical Investigation into Asian Equity Markets Pre- and Post-1997 Asian Financial Crisis

Abstract

The study investigates the interdependence of the stock markets between the following countries Hong Kong, Japan, Korea, Taiwan, Indonesia, Malaysia, Philippines, Singapore, Thailand and the advanced stock markets of Australia, Germany, United Kingdom and the United States. Using data from 1994 to 2003 the paper employs both correlation, causality and cointegration analysis to describe the behaviour of the above stock market indices over the period pre and post the 1997 Asian Financial Crises. The paper investigates both the short- and long-run relationships between the Asian markets and the markets of selected advanced industrial countries.

Citation

Vinh Vo, X. and Daly, K.J. (2005), "International Financial Integration: An Empirical Investigation into Asian Equity Markets Pre- and Post-1997 Asian Financial Crisis", Fetherston, T.A. and Batten, J.A. (Ed.) Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century (Contemporary Studies in Economic and Financial Analysis, Vol. 86), Emerald Group Publishing Limited, Leeds, pp. 75-100. https://doi.org/10.1016/S1569-3759(05)86004-8