Stocks Market Interdependence and Asian Financial Crisis: Empirical Evidence from Asean-Plus-Three

• Main Authors: Ruzita Abdul Rahim, Ros Zamzam Sapian, Abu Hassan Shaari Mohd Nor
• Format: Article
• Language: English
• Published: Universiti Sains Islam Malaysia 2012
• Subjects: Stock market interdependence; Asian financial crisis; International portfolio diversification; ASEAN-plus-three
• Online Access: http://ddms.usim.edu.my/handle/123456789/5358
• Institution: Universiti Sains Islam Malaysia

This paper examines the impact of Asian financial crisis on stock market interdependence for the period of 16 years from January 1991 to December 2006 of ASEAN-plus-three stock markets. The preliminary results show that there is differential in risk-return behavior for pre-, during and post-crisi...