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A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets

Raisul Islam
대외경제정책연구원 (Korea Institute for International Economic Policy (KIEP))|2014.06|East Asian Economic Review|제18권 제2호|pp. 187-212|DOI http://dx.doi.org/10.11644/KIEP.JEAI.2014.18.2.280

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참고문헌

키워드

Financial CrisisImpulse ResponseInternational Financial MarketsFinancial ContagionFinancial Econometrics
주제분류경제학

초록

The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A comparative assessment of Asian markets during the Asian Financial Crisis and Global Financial crisis may clearly identify the changing nature of long term integration of major Asian markets. The selection criteria of specific Asian markets of different peripheries depend particularly on the roles and structure of these markets. The impact of the global financial contagion and the lingering financial linkage in the aftermath of crisis will explain the reaction of the majority of Asian markets to global linkage. While majority of the studies focused on dynamic short term association in European and MENA contagions in the post global financial crisis period; after the global financial crisis, attention paid to long term Asian contagion adds new perspective to hitherto disorganized theories.

Abstract

The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A comparative assessment of Asian markets during the Asian Financial Crisis and Global Financial crisis may clearly identify the changing nature of long term integration of major Asian markets. The selection criteria of specific Asian markets of different peripheries depend particularly on the roles and structure of these markets. The impact of the global financial contagion and the lingering financial linkage in the aftermath of crisis will explain the reaction of the majority of Asian markets to global linkage. While majority of the studies focused on dynamic short term association in European and MENA contagions in the post global financial crisis period; after the global financial crisis, attention paid to long term Asian contagion adds new perspective to hitherto disorganized theories.

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