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An Analysis of Asian Market Integration Pre- and Post-Crisis

Brailsford, Timothy John; Penm, Jack HW; Terrell, Richard

Description

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]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/21614
Source: International Journal of Theoretical and Applied Finance
DOI: 10.1142/S0219024906003718

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