Stock market integration and financial crises: the case of Asia

Yang, Jian; Kolari, James W.; Insik, Min

doi:10.1080/09603100210161965

Cited by 239 publications

(125 citation statements)

References 28 publications

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“…Previous literatures by applying mostly traditional unit root tests viz., ADF and PP (Yuhn, 1997;Yang et al, 2003;Elyasiani and Zhao, 2008;Fadhlaoui et al (2009) mostly have found nonstationary equity price series for the U.S., Germany and Japan similar to the results achieved in the current research. Also Neaime (2005) and Yu and Hassan (2008) eported the same result for Saudi Arabia and also Neaime (2005) informed non-stationary series for Kuwait similar to other selected countries in the current research.…”

Section: Empirical Results Of Unit Root Test Analysissupporting

confidence: 88%

“…Most of these analyses have selected some developed and developing countries and dominantly have focused on equity markets. A partial list of such work includes (Fadhlaoui et al, 2009;Yu and Hassan, 2008;Soofi, 2008;Elyasiani and Zhao, 2008;Neaime, 2005;Yang et al, 2003;Bessler and Yang, 2003;Yuhn, 1997). Notably, these studies have applied similar methods for their analysis.…”

Section: Ajasmentioning

confidence: 99%

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Analysis of Financial Markets Integration of Iran Within the Middle East and With the Rest of the World

Ezzati¹

2013

American Journal of Applied Sciences

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It is universally argued that Iran's financial markets are effectively isolated from the rest of the world. However, in the last three years, privatization increased in Iranian financial markets as well as capitalization, Foreign Direct Investment (FDI) and equity prices, albeit with suspicion of reaching the bubble level. Questions are raised whether Iran is still isolated from the rest of the world. To see whether argument in relation to isolation of Iranian financial markets is true and to better understand Iran's financial development, we estimate financial interdependencies of Iran within the Middle East and with the rest of the world based on the important recycling of petrodollars. For this analysis monthly financial data from equity, money and foreign exchange markets are applied over 12 years. Integration of each of these markets are analysed in turn for Iran within the region and with the rest of the world. Auto-Regressive Distributed Lag (ARDL) cointegration method is conducted to analyse the interdependencies among the financial markets after the application of unit root test in presence of structural breaks. We found that Iran has fairly independent and isolated foreign exchange market. However, its equity and money markets are integrated within the Middle East and with the rest of the world. Iran is neither completely segregated nor fully integrated with the rest of the world; it is still controversial whether Iran should be considered as a good choice for international portfolio diversification based on its segregated nature.

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Section: Empirical Results Of Unit Root Test Analysissupporting

confidence: 88%

Section: Ajasmentioning

confidence: 99%

Analysis of Financial Markets Integration of Iran Within the Middle East and With the Rest of the World

Ezzati¹

2013

American Journal of Applied Sciences

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“…The role of Japan as the leader in the region has been highly controversial in this debate. While Masih and Masih (2001) as well as Ghosh et al (1999) concluded that Japan is a market leader, other researches (Yang et al, 2003) suggest that Japan does not play a pivotal role in non-crisis periods. A few other studies have shown that especially Hong Kong is the most influential stock market in Asia (e.g., Masih and Masih, 1999;Dekker et al, 2001).…”

Section: Literature Reviewmentioning

confidence: 99%

The Lead-Lag Relationship among East Asian Economies: A Wavelet Analysis

Saiti¹

2017

IBR

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Recently, the issue of market linkages (and price discovery) between stock indices and the lead-lag relationship is a topic of interest to financial economists, financial managers and analysts, especially that involves the East Asian countries. In this study, to investigate the financial market leader in East Asian countries after the US financial crisis, we employ several conventional time-series techniques and a newly introduced methodwavelet analysis -to economics and finance. Daily return data covering the period from 15th September 2008 to 1st March 2016 for five major international stock price indices in East Asia are analyzed. Our findings tend to, more or less, suggest that the Shanghai stock exchange composite index is the only exogenous variable, whereas the remaining variables are endogenous. Such finding implies that the Shanghai stock exchange composite index is the financial market leader whereas the rest of variables are follower, which includes Nikkei 225 (Japan). In order to check the robustness of our results, we also employed wavelet correlation and cross-correlation techniques. Interestingly, based on the results, the leading role of Shanghai Stock Exchange Composite Index is very clear at short scales; whereas, the leading role disappears at the long scales. This study shows that wavelet analysis can provide a valuable alternative to the existing conventional methodologies in identifying lead-lag (causality) relationship between financial/economic variables, since wavelets considered heterogeneous agents who making decisions over different time horizons.

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“…These mixed evidences pose an important empirical question; are inter-linkage among stock markets time sensitive? In this context, it is worthwhile to mention few noteworthy studies namely Sheng(2000), Cifarelli (2000), Hashmi (2001), Tan (2001), Ratanapakorna (2002), Jang (2002), Yang(2002), Kim (2005), Fan (2003), Melle (2002), Click and Plummer (2005), Lucey and Voronkova(2008) etc. These studies have concentrated on the stock market integration during 1997-1998 Asian financial crises and found that there is shift in the pattern of return and volatility transmission during crisis period.…”

Section: Introductionmentioning

confidence: 99%

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

Padhan¹,

Sujit²

2013

IJBM

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The financial markets across globe have become distinctly integrated owing to liberalization and globalsiation policy as well as advancement of information technology. The contagion effect of macroeconomic disturbances or financial crisis, internally and externally, is rapidly disseminating across various economies. The recent global recession of 2007-09 started with US subprime crises and subsequently followed by Lehman brother crisis affected all most all major economies of the world. In this contenxt, the present paper explores the stock market integration of leading stock exchanges across various countries during pre and post economic crisis of 2007-09. Thus for empirical analysis, it uses the data since 2004-2012. It attempts to find out the breaks point, if any, in the pattern of stock price movements endogenously. Further efforts have also been made to examine changing pattern of relationship among stock prices using bivariate and multivariate cointegration techniques. The study suggests that although stock markets are integrated globally, the integration is very weak. This proposes that stock prices as well as returns are not strongly interrelated across markets. The Granger casualty results also provides mixed evidences, although some changes are noticed about the causality between stock prices from pre-recession to post recession period in Chinese stock markets.

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Stock market integration and financial crises: the case of Asia

Cited by 239 publications

References 28 publications

Analysis of Financial Markets Integration of Iran Within the Middle East and With the Rest of the World

Analysis of Financial Markets Integration of Iran Within the Middle East and With the Rest of the World

The Lead-Lag Relationship among East Asian Economies: A Wavelet Analysis

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

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