Cross-Market Causal Linkages of ASEAN-5

• Main Authors: Evan, Lau, Swee-Ling, Oh
• Format: E-Article
• Language: English
• Published: IUP Publications 2009
• Subjects: HC Economic History and Conditions
• Online Access: http://ir.unimas.my/id/eprint/7294/1/Cross-Market%20Causal%20Linkages%20of%20ASEAN-5%20%2810%25%29.pdf; http://ir.unimas.my/id/eprint/7294/; http://eds.b.ebscohost.com/ehost/results?sid=56845a78-df89-4e69-ba8f-c25809e7d3c8%40sessionmgr111&vid=0&hid=108&bquery=SO+(IUP+journal+of+financial+economics)+and+(%22Cross-Market+Causal+Linkages+of+ASEAN-5%22)+and+DT+%222009%22+and+AU+%22Oh%22&bdata=JmRi

This study seeks to understand the nature of international stock markets and the extent to which the ASEAN-5 markets causally relate with each other before and after the 1997-98 turmoil. The data series of the Composite Index (CI) in logarithm form and the volatility series of GARCH were adopted for...