Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries
This study revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock mar- ket, with the particular attention to the 2008 subprime mortgage crisis. Extending related empirical studies, comparative analyses of pre-crisis, and post-crisis periods were conducted to com...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
LPEM
2015
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18010/ http://ir.unimas.my/id/eprint/18010/1/Revisiting%20Stock%20Market%20Integration%20Pre-Post%20Subprime%20Mortgage%20Crisis%20%28abstract%29.pdf |
| _version_ | 1848838415500443648 |
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| author | Puah, Chin Hong Brahmana, Rayenda Khresna Wong, Kai Hung |
| author_facet | Puah, Chin Hong Brahmana, Rayenda Khresna Wong, Kai Hung |
| author_sort | Puah, Chin Hong |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock mar-
ket, with the particular attention to the 2008 subprime mortgage crisis. Extending related empirical studies,
comparative analyses of pre-crisis, and post-crisis periods were conducted to comprehensively evaluate
how stock market integration was affected by financial crises. In general, after employing cointegration test
and VAR test, the results reveal the increase of stock market integration in BRICs after the subprime crisis.
The evidence also found that China stock market is the most influential among the BRICs, in which China
stock market has the ability to Granger cause the other three BRICs member countries. An important impli-
cation of our findings is that the degree of integration among countries tends to change over time, especially
around periods marked by financial crises. |
| first_indexed | 2025-11-15T06:55:11Z |
| format | Article |
| id | unimas-18010 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:55:11Z |
| publishDate | 2015 |
| publisher | LPEM |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-180102017-10-06T04:24:24Z http://ir.unimas.my/id/eprint/18010/ Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries Puah, Chin Hong Brahmana, Rayenda Khresna Wong, Kai Hung H Social Sciences (General) This study revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock mar- ket, with the particular attention to the 2008 subprime mortgage crisis. Extending related empirical studies, comparative analyses of pre-crisis, and post-crisis periods were conducted to comprehensively evaluate how stock market integration was affected by financial crises. In general, after employing cointegration test and VAR test, the results reveal the increase of stock market integration in BRICs after the subprime crisis. The evidence also found that China stock market is the most influential among the BRICs, in which China stock market has the ability to Granger cause the other three BRICs member countries. An important impli- cation of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises. LPEM 2015 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18010/1/Revisiting%20Stock%20Market%20Integration%20Pre-Post%20Subprime%20Mortgage%20Crisis%20%28abstract%29.pdf Puah, Chin Hong and Brahmana, Rayenda Khresna and Wong, Kai Hung (2015) Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries. Economics and Finance in Indonesia, 61 (2). pp. 120-130. ISSN 0126-155X |
| spellingShingle | H Social Sciences (General) Puah, Chin Hong Brahmana, Rayenda Khresna Wong, Kai Hung Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries |
| title | Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries |
| title_full | Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries |
| title_fullStr | Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries |
| title_full_unstemmed | Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries |
| title_short | Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries |
| title_sort | revisiting stock market integration pre-post subprime mortgage crisis:insight from bric countries |
| topic | H Social Sciences (General) |
| url | http://ir.unimas.my/id/eprint/18010/ http://ir.unimas.my/id/eprint/18010/1/Revisiting%20Stock%20Market%20Integration%20Pre-Post%20Subprime%20Mortgage%20Crisis%20%28abstract%29.pdf |