CO-MOVEMENTS BETWEEN THE US AND EMERGING AND FRONTIER ASIAN STOCK MARKETS: A POST SUBPRIME CRISIS ANALYSIS
CO-MOVEMENTS BETWEEN THE US AND EMERGING AND FRONTIER ASIAN STOCK MARKETS: A POST SUBPRIME CRISIS ANALYSIS
Author(s): Leo Prasad, Sangeetha Nagarakatte, Dzombza Cosmas Lovejoy, Namitha K. CheriyanSubject(s): Economy, Financial Markets
Published by: Universitatea SPIRU HARET - Faculty of Accounting and Financial Management
Keywords: US Subprime Crisis; Stock Market Integration; Johansen Cointegration Test; Granger Causality Test; Emerging and Frontier Asian Equity Markets;
Summary/Abstract: This paper examines the co-movements between the US stock market and emerging and frontier Asian stock markets during the post US Subprime crisis period. It also analyses whether the US stock market Granger causes the emerging and frontier stock markets from Asia. Analysing eight stock market indices which includes SHCOMP (China), KSE100 (Pakistan), Nifty 50 (India), JCI (Indonesia), PCOMP (Philippines), SET (Thailand), NASDAQ (USA), VN (Vietnam) for a period from 1st February 2009 to 31stmarch 2017, we find the absence of cointegration among US and the selected markets. This shows that the markets considered are not moving in tandem over the long-run. However, we find that the US stock market Granger causes all the seven emerging and frontier Asian markets considered for the study indicating their co-movement over the short-run.
Journal: Journal of Academic Research in Economics (JARE)
- Issue Year: 11/2019
- Issue No: 1
- Page Range: 89-97
- Page Count: 9
- Language: English
- Content File-PDF