Market Integration and Financial Crisis: New Evidence from Asian Paciic Markets

Abstract

We  investigated  the  stock  market  integration  among  national  equity  indices  in  eight countries  from  the  period  of  1995  to  2009,  which  was  then  clustered  into  four  sub-sample periods. The multivariate time series analyses were employed to observe the degree and the existence  of  the  integration.  We  found  a  cointegrating  vector  in  each  of  three  sub-sample periods. Interestingly, in the 1997 inancial crisis, we found that there was no indication of cointegration relationship among the equity indices. The results of block causality tests and the accounting innovation analysis indicate that the short run dynamic interactions among the stock indices became more intense during the current inancial crisis, and that the U.S. stock market  played dominant role in the regional markets. ");} // --> activate javascript