An Analysis of Asian Market Integration Pre- and Post-Crisis
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...[Show more]
|Collections||ANU Research Publications|
|Source:||International Journal of Theoretical and Applied Finance|
|01_Brailsford_An_Analysis_of_Asian_Market_2006.pdf||275.45 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.