English, Article edition: AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS T. J. BRAILSFORD; J. H. W. PENM; R. D. TERRELL

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Physical Description
  • article
Language
  • English

Edition details

Title
  • AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS
Author
  • T. J. BRAILSFORD
  • J. H. W. PENM
  • R. D. TERRELL
Physical Description
  • article
Notes
  • In this paper cointegrating relations between six East and Southeast Asian markets relative to a base cluster of three global markets are investigated in the framework of zero-non-zero (ZNZ) patterned vector error-correction modelling (VECM). The analysis focuses upon market relations both before and after the Asian currency crisis. The strength of integration between markets is also evaluated by extending Geweke's measurement approach within this framework. The results show that, since the crisis, estimated integration strengths have become more powerful between the Asian and global markets, with the US market leading both the Asian markets and the markets of Japan and the UK.
  • Asian currency crisis, international portfolio diversification, cointegration, VECM
  • RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:483-501
Language
  • English
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