Stock Market Integration and Financial Crises: The Case of Asia

30 Pages Posted: 1 Dec 2003  

Jian Yang

University of Colorado at Denver - Business School

James W. Kolari

Texas A&M University, Department of Finance

Insik Min

Texas A&M University

Abstract

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.

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

JEL Classification: G15, C32

Suggested Citation

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

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, Department of Finance ( email )

MS-4218
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

Langford Building A
798 Ross St.
College Station, TX 77843-3137
United States

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