Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets
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The main purpose of the study is: i. to examine the long- and short-term dynamic linkages among international and Asian emerging stock markets and then ii. try to quantify the extent of the Asian stock market fluctuations which are explained by intra-regional contagion effect. The study, therefore, proceeds first by examining the dynamic causal linkages among eight national daily stock price indices four major established markets and four Asian emerging markets. and then quantifying the extent of their dynamic interdependencies through the application of recent time-series econometric techniques a. vector error-correction model Toda and Phillips, 1993. and b. level VAR model containing integrated and cointegrated processes of arbitrary orders Toda and Yamamoto, 1995. At the global level, the findings tend to confirm the widely-held view of the leadership of the US over both the short- and long-term and the existence of a significant short- and long-term relationship between the established OECD and the emerging Asian markets
Stock price/market , Linkages , Integration , Granger causality , Unit roots , Integrated processes , Cointegration , Vector error-correction modelling , Vector autoregression
Mohammed Masih, Abul Mansur & Masih, Rumi. (1999). Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets. Pacific-Basin Finance Journal, 7, pp. 251-282.
Elsevier Science B.V.