Linkages between the Malaysian Market and Some Selected Markets
Lim Ai Li
affiliation not provided to SSRN
June 3, 2008
21st Australasian Finance and Banking Conference 2008 Paper
Many researchers claim that the stock markets are getting more and more integrated. In other words, it is believed that there are stronger financial market linkages or co-movements among the stock markets around the globe. We attempt to determine whether there are financial market linkages or co-movements. We have used three methods to examine the linkages or co-movements, namely, the correlation analysis, contegration analysis, and Granger-Causality test. The results for the correlation analysis suggest that financial market linkages are weak among the four countries undertaken in this study. Cointegration tests find that there is a long-run relationship as there is at most a single cointegrating vector. Finally, the Granger causality test finds that most of the stock markets are influencing other stock markets. Overall, the four stock markets do seem to have financial market linkages, or in other words, co-movement exists among these four stock markets.
Keywords: Financial Market Linkages, Cointegration, co-movement
JEL Classification: C32, F21, F36, G10, G15working papers series
Date posted: June 3, 2008 ; Last revised: November 23, 2008
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