Dynamic linkages of Asian stock markets
This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets, we sp...
| Main Authors: | , , |
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| Format: | Article |
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Taylor and Francis Group
2003
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| Online Access: | http://psasir.upm.edu.my/id/eprint/112986/ |
| _version_ | 1848866096268967936 |
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| author | Baharumshah, Ahmad Zubaidi Sarmidi, Tamat Tan, Hui Boon |
| author_facet | Baharumshah, Ahmad Zubaidi Sarmidi, Tamat Tan, Hui Boon |
| author_sort | Baharumshah, Ahmad Zubaidi |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets, we split the sample into three sub-periods: pre-liberalization (1988-91), post-liberalization (1992-96) and post-crisis (1997-99) periods. The empirical results suggest that all the Asian markets are closely linked with each other and with the world capital markets, namely those of the US and Japan, over the post-liberalization era. Overall, the evidence shows that the degree of integration between the Asian emerging markets and the US increased following the deregulation period, and that the relationship has intensified since the onset of the Asian crisis. There is no evidence to show that Japan has overtaken the US in dominating the Asian equity markets. In addition, our results show that the interrelationship among the Asian national markets has been affected by the crisis. Specifically, the crisis-affected countries of Malaysia and Thailand are increasingly interrelated with South Korea and Taiwan in the post-crash period. |
| first_indexed | 2025-11-15T14:15:10Z |
| format | Article |
| id | upm-112986 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T14:15:10Z |
| publishDate | 2003 |
| publisher | Taylor and Francis Group |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-1129862025-01-13T01:33:42Z http://psasir.upm.edu.my/id/eprint/112986/ Dynamic linkages of Asian stock markets Baharumshah, Ahmad Zubaidi Sarmidi, Tamat Tan, Hui Boon This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets, we split the sample into three sub-periods: pre-liberalization (1988-91), post-liberalization (1992-96) and post-crisis (1997-99) periods. The empirical results suggest that all the Asian markets are closely linked with each other and with the world capital markets, namely those of the US and Japan, over the post-liberalization era. Overall, the evidence shows that the degree of integration between the Asian emerging markets and the US increased following the deregulation period, and that the relationship has intensified since the onset of the Asian crisis. There is no evidence to show that Japan has overtaken the US in dominating the Asian equity markets. In addition, our results show that the interrelationship among the Asian national markets has been affected by the crisis. Specifically, the crisis-affected countries of Malaysia and Thailand are increasingly interrelated with South Korea and Taiwan in the post-crash period. Taylor and Francis Group 2003 Article PeerReviewed Baharumshah, Ahmad Zubaidi and Sarmidi, Tamat and Tan, Hui Boon (2003) Dynamic linkages of Asian stock markets. Journal of the Asia Pacific Economy, 8 (2). pp. 180-209. ISSN 1354-7860; eISSN: 1469-9648 https://www.tandfonline.com/doi/abs/10.1080/1354786032000074730 10.1080/1354786032000074730 |
| spellingShingle | Baharumshah, Ahmad Zubaidi Sarmidi, Tamat Tan, Hui Boon Dynamic linkages of Asian stock markets |
| title | Dynamic linkages of Asian stock markets |
| title_full | Dynamic linkages of Asian stock markets |
| title_fullStr | Dynamic linkages of Asian stock markets |
| title_full_unstemmed | Dynamic linkages of Asian stock markets |
| title_short | Dynamic linkages of Asian stock markets |
| title_sort | dynamic linkages of asian stock markets |
| url | http://psasir.upm.edu.my/id/eprint/112986/ http://psasir.upm.edu.my/id/eprint/112986/ http://psasir.upm.edu.my/id/eprint/112986/ |