Are the Asian Equity Markets more Interdependent after the Financial Crisis?

Siew-Yen Foo (), Wing-Keung Wong () and Terence Tai Leung Chong ()
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Siew-Yen Foo: National University of Singapore

Economics Bulletin, 2008, vol. 6, issue 16, pages 1-7

Abstract: This paper examines the impact of the 1997 Asian Financial Crisis on the linkages between the Singapore and five Asian-Pacific stock markets. We show that the interdependence between these markets has intensified after the crisis. Before the crisis, only the Malaysian stock market is found to be cointegrated with Singapore. However, after the onset of the crisis, the stock markets of Hong Kong, Japan, Malaysia and the US are found to be cointegrated with the Singapore stock market.

Keywords: Singapore Stock Market; Cointegration; Error Correction Model; Vector Autoregression Model; Final Prediction Error Criterion. (search for similar items in EconPapers)
JEL-codes: F3 F3 (search for similar items in EconPapers)
Date: 2008 Written 2008-04-21
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