Article ID Journal Published Year Pages File Type
5092361 Journal of Comparative Economics 2014 24 Pages PDF
Abstract
This paper examines East Asian equity market linkages in and out of the Asian and global financial crises using a novel econometric approach. The market dependence structure and shock transmission mechanism are explored spatially in the time domain, thus offering new insights into the dynamic regional market linkage patterns. Results show that East Asian equity markets are characterized by linkages through significant spatial effects, crises are conducive to increased cross-border linkages especially in the case of China, and Japan is a dominant driver of market linkages in the region.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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