Modelling evolving long-run relationships: the linkages between stock markets in asia

José L. Fernández-Serrano and Simon Sosvilla-Rivero

No 2000-11, Working Papers from FEDEA

Abstract: This paper examines the linkages between the stock markets in Asia during the 1977-1999 period using recently-developed cointegration techniques that allow for structural shifts in the long-run relationship. Our results suggest that, if we apply conventional cointegration tests, we do not find evidence of a long run relationship between the Asian stock markets. In contrast, if we introduce the possibility of structural breaks, we find strong evidence in favour of such relationship between the Taiwanese and Japanese indices from October 1987, while some marginal cointegration is detected between Singapore and Japan until February of 1992 and between Korea and Japan from April 1987.

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Journal Article: Modelling evolving long-run relationships: the linkages between stock markets in Asia (2001)
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