Stock Market Linkages in Emerging Asia-Pacific Markets

@inproceedings{Palamalai2013StockML,
  title={Stock Market Linkages in Emerging Asia-Pacific Markets},
  author={Srinivasan Palamalai and Muthusamy Kalaivani and Christopher Devakumar},
  year={2013}
}
This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China and Indonesia. Johansen and Juselius (1990) multivariate cointegration test, Granger causality/Block exogeneity Wald test based on VECM approach and Variance Decomposition Analysis was employed to investigate the dynamic linkages between markets. Cointegration test confirmed a well defined long-run… CONTINUE READING

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