haku: @author Najand, M. / yhteensä: 3
viite: 2 / 3
| Tekijä: | Najand, M. |
| Otsikko: | A causality test of the October crash of 1987: Evidence from Asian stock markets |
| Lehti: | Journal of Business Finance and Accounting
1996 : APR, VOL. 23:3, p. 439-448 |
| Asiasana: | ASIA STOCK MARKETS COUNTRY COMPARISONS |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the linkage between Asian stock markets. Lead-lag relations are analyzed among three stock market indicies: Hong Kong Hang Seng, Singapore Strits, and Tokyo Nikkei. Instead of relying on a vector autoregressive process (VAR), the more definitive approach of state space modelling is used. It was found that, contrary to previous research, Japan played a leading role during the market crash of October 1987 in the Asian stock markets and there is important lead-lag relations among these markets during crash and post-crash periods. |
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