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Integrating financial markets in East Asia

de Brouwer, Gordon

Description

Financial markets in east Asia have experienced substantial transformation and turmoil in recent years which has had an effect on the pattern of integration in the region. The paper assesses patterns of common variability in daily changes in interest rates, stock prices and exchange rates in the region using principal component and common factor analysis. It concludes that common variability is greatest in stock prices and exchange rates, that particular patterns of common variability have...[Show more]

CollectionsANU Research Publications
Date published: 2000
Type: Journal article
URI: http://hdl.handle.net/1885/40652
http://digitalcollections.anu.edu.au/handle/1885/40652

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