Interdependence of Asian emerging equity markets
Author(s)
Author(s)
Hung, B. W.-S.
Date Issued
1995
Publisher
John Wiley & Sons
Journal
Journal of Business Finance & Accounting
Volume
22
Issue
2
Start page
281
End page
288
Abstract
This study applies the Johansen multivariate cointegration test to examine the interdependence of the Asian emerging equity markets — Hong Kong, Korea, Malaysia, Singapore, and Taiwan during the period 1981–1991. Our findings show that these markets are not cointegrated when prices are measured in local currencies. However, when prices are measured in US dollars there is evidence that these markets became cointegrated after the October 1987 Crash. Further analysis demonstrates that this relationship is caused by the coherence among the Asian currencies response against the US dollar in the subperiod 1987–1991.
SFU Affiliated Publication
No
Availability at SFU Library
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