The Analysis of Asian Stock Markets Before and After the Asian Crisis

• 발행기관: 한국자료분석학회
• 저자명: Jun Gyu Kang
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.5 No.2, 177~185쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2003.06.30

영문 초록

This paper examines the time-dependence of stock market return correlations. The increased frequency of financial crises (currency, banking, equity markets) and the experience of regional waves (ERM, Latin America, Asian) in such crises has focused attention on the phenomenon of contagion, whereby a crisis in one country leads to crises in other, geographically connected countries. Correlations represent one of the ways to determine the degree of linkage across national equity markets. This paper examines the characteristics of the Asian financial crisis from the behavior of stock prices in eight countries. Patterns in the comovements of stock prices are examined before, during and after the period of financial turmoil in Asian economies during 1997-1998. The findings based on correlations indicate that Asian economies became more closely tied towards the end of the 1990s while a measure of market integration suggests that these Asian equity markets have become more integrated in a global context in spite of the turmoil surrounding the Asian financial crisis.

목차

I. Introduction

II. Measures of Market Integration

III. Data & Empirical Result

IV. Conclusion

References

키워드

stock market contagion correlation unit root test cointegration test