Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US

Hwahsin Cheng () and John L. Glascock ()
Additional contact information
Hwahsin Cheng: Fannie Mae, 3900 Wisconsin Avenue N.W., Washington DC 20016, USA
John L. Glascock: Department of Land Economy, University of Cambridge, 19 Silver Street, Cambridge, CB3 9EP, United Kingdom

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2006, vol. 09, issue 02, 297-315

Abstract: We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.

Keywords: Market linkages; international diversification; market integration; JEL Classification: G10; JEL Classification: G15 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091506000732
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:09:y:2006:i:02:n:s0219091506000732

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091506000732

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().