AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS

DOI10.1142/S0219024906003718MaRDI QIDQ5483500zbMATH OpenOpenAlexFDO

Authors T. J. Brailsford, R. D. Terrell, Jack H. W. Penm

Publication date 14 August 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024906003718

zbMATH Keywords

cointegrationinternational portfolio diversificationVECMAsian currency crisis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Impact of global financial crisis on network of Asian stock markets
• Convergence and interdependence between ASEAN-5 stock markets
• The Asian financial crisis and investors' risk aversion

Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• A Stastistical Analysis of Cointegration for I(2) Variables
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and testing in co-integrated systems
• Interpreting cointegrating vectors and common stochastic trends
• Statistical analysis of cointegration vectors
• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(5)

• The impact of the U.S. and the Japanese equity markets on the emerging Asia-Pacific equity markets
• ASEAN economic community: analysis based on fractional integration and cointegration
• The impact of structural breaks on the integration of the ASEAN-5 stock markets
• TESTING PPP BY MEANS OF ZNZ PATTERNED VECM
• Price linkages in Asian equity markets: evidence bordering the Asian economic, currency and financial crises

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