Interdependence among emerging Asian stock markets.

• Main Author: Koh, Hock Ghee.
• Other Authors: Alba, Joseph Dennis
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/10699
• Institution: Nanyang Technological University

More open capital markets and better telecommunication in the 1980s and 1990s may have made even emerging stock markets more interdependent. This paper examines the interdependence of stock markets in eight East Asian countries using an MA(1)-GARCH(1,1)-M model and tests of causality in mean and va...