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Citations (19)



Stock Market Integration and Financial Crises: The Case of Asia

Jian Yang

University of Colorado at Denver - Business School

James W. Kolari

Texas A&M University

Insik Min

Texas A&M University

This study examines long-run relationships and short-run dynamic causal linkages among the U.S., Japanese, and ten Asian emerging stock markets, with the particular attention to the 1997-1998 Asian financial crisis. Extending related empirical studies, comparative analyses of pre-crisis, crisis, and post-crisis periods are conducted to comprehensively evaluate how stock market integration is affected by financial crises. In general, the results for the case of Asia show that both long-run cointegration relationships and short-run causal linkages among these markets were strengthened during the crisis and that these markets have generally been more integrated after the crisis than before the crisis. Detailed country-by-country analyses are provided, which yield a variety of new results concerning the roles of individual countries in international stock market integration. An important implication of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises.

Number of Pages in PDF File: 30

Keywords: Asian financial crisis, cointegration, emerging stock markets, generalized impulse response analysis

JEL Classification: G15, C32

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Date posted: December 1, 2003  

Suggested Citation

Yang, Jian and Kolari, James W. and Min, Insik, Stock Market Integration and Financial Crises: The Case of Asia. Available at SSRN: http://ssrn.com/abstract=318965 or http://dx.doi.org/10.2139/ssrn.318965

Contact Information

Jian Yang (Contact Author)
University of Colorado at Denver - Business School ( email )
1250 14th St.
Denver, CO 80204
United States
James W. Kolari
Texas A&M University ( email )
Department of Finance
College Station, TX TX 77843-4218
United States
979-845-4803 (Phone)
979-845-3884 (Fax)

Insik Min
Texas A&M University
College Station, TX 77843
United States
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References:  9
Citations:  19

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