Association of South-East Asian Nations-US Stock Market Associations in and Around US 2007-09 Financial Crisis: An Autoregressive Distributed Lag Application for Policy Implications

Ranjan Dasgupta
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Ranjan Dasgupta: Xavier University Bhubaneshwar, Xavier Square, Bhubaneshwar, Odisha, India

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 3, 684-705

Abstract: This study examines portfolio diversification and arbitrage opportunities available to international investors in 16 Asian and US stock markets by using most advanced autoregressive distributed lag methods in and around recent US sub-prime crisis of 2007-09 with selected structural breaks. Results show that in overall and during-the-crisis period these markets were co-integrated in long-run and there were not enough portfolio diversification opportunities for international investors like other sub-periods. The Indian and Chinese markets were strongest contenders among Asian and US to attract foreign inflows. In short-run, these markets show dynamic adjustments generally within 1 month which neutralizes arbitrage opportunities.

Keywords: Asian and US Stock Markets; Autoregressive Distributed Lag; Co-integrations; Market Efficiency; Portfolio Diversification; US 2007-09 Crisis (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-03-89

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