search query: @indexterm Cointegration / total: 76
reference: 39 / 76
Author: | Sheng, H.-C. Tu, A. |
Title: | A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis |
Journal: | Journal of Multinational Financial Management
2000 : SEP-DEC, VOL. 10:3/4, p. 345-366 |
Index terms: | FINANCIAL MANAGEMENT COINTEGRATION ASIA |
Language: | eng |
Abstract: | This study uses a cointegration and variance decomposition analysis to examine the linkages among the stock markets of 12 Asia-Pacific countries, before and during the period of the Asian financial crisis. Johansen (1988) multivariate cointegration and error-correction tests demonstrate evidence in support of the existence of cointegration relationship among the national stock indices during, but not before, the period of financial crises. |
SCIMA