Record Details


Field	Value

Title	Market Integration and Financial Crisis: New Evidence from Asian Paciic Markets

Creator	Adwin Surja Atmadja; Faculty of Economics, Petra Christian University Yanhui Wu; School of Economics and Finance, Queensland University of Technology Wan Juli; Ernst & Young, PSS Consult, Indonesia

Subject	Capital Market

Description	We investigated the stock market integration among national equity indices in eight countries from the period of 1995 to 2009, which was then clustered into four sub-sample periods. The multivariate time series analyses were employed to observe the degree and the existence of the integration. We found a cointegrating vector in each of three sub-sample periods. Interestingly, in the 1997 inancial crisis, we found that there was no indication of cointegration relationship among the equity indices. The results of block causality tests and the accounting innovation analysis indicate that the short run dynamic interactions among the stock indices became more intense during the current inancial crisis, and that the U.S. stock market played dominant role in the regional markets. activate javascript

Publisher	Management Research Center, Department of Management, Faculty of Economics and Business, U

Contributor	—

Date	2014-08-26

Type	Peer-reviewed Article

Format	application/mbox

Identifier	http://journal.ui.ac.id/index.php/icmr/article/view/3657

Source	Indonesian Capital Market Review; Vol 2, No 1 (2010): January 2010

Language	en

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