English, Article edition: Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US Hwahsin Cheng; John L. Glascock

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US
Author
  • Hwahsin Cheng
  • John L. Glascock
Physical Description
  • article
Notes
  • We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets â China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.
  • Market linkages, international diversification, market integration, JEL Classification: G10, JEL Classification: G15
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:02:p:297-315
Language
  • English
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