A spatial–temporal analysis of East Asian equity market linkages

Pui Sun Tam

Journal of Comparative Economics, 2014, vol. 42, issue 2, 304-327

Abstract: This paper examines East Asian equity market linkages in and out of the Asian and global financial crises using a novel econometric approach. The market dependence structure and shock transmission mechanism are explored spatially in the time domain, thus offering new insights into the dynamic regional market linkage patterns. Results show that East Asian equity markets are characterized by linkages through significant spatial effects, crises are conducive to increased cross-border linkages especially in the case of China, and Japan is a dominant driver of market linkages in the region.

Keywords: East Asia; Equity market linkages; Financial crisis; Spatial dependence (search for similar items in EconPapers)
JEL-codes: C23 G01 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jcecon:v:42:y:2014:i:2:p:304-327

DOI: 10.1016/j.jce.2014.03.008

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