AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS

T. J. Brailsford, J. H. W. Penm () and R. D. Terrell
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T. J. Brailsford: UQ Business School, University of Queensland, Australia
J. H. W. Penm: School of Finance and Applied Statistics, Australian National University, Canberra 0200, Australia
R. D. Terrell: The Australian National University, Canberra, Australia

International Journal of Theoretical and Applied Finance (IJTAF), 2006, vol. 09, issue 04, 483-501

Abstract: In this paper cointegrating relations between six East and Southeast Asian markets relative to a base cluster of three global markets are investigated in the framework of zero-non-zero (ZNZ) patterned vector error-correction modelling (VECM). The analysis focuses upon market relations both before and after the Asian currency crisis. The strength of integration between markets is also evaluated by extending Geweke's measurement approach within this framework. The results show that, since the crisis, estimated integration strengths have become more powerful between the Asian and global markets, with the US market leading both the Asian markets and the markets of Japan and the UK.

Keywords: Asian currency crisis; international portfolio diversification; cointegration; VECM (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219024906003718

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