The Dynamic Interrelation of the Asean Stock Markets during the World Financial Crises

Atmadja, Adwin Surja (2010) The Dynamic Interrelation of the Asean Stock Markets during the World Financial Crises. In: The 2nd Parahyangan International Accounting & Business Conference, 17-18 June 2010, Bandung Indonesia.

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    This study investigates the interrelation of stock indices’ movements in the five ASEAN countries during the three world financial crises. The multivariate time series analyses would be conducted on series of the three sub-sample periods to capture not only the long run equilibrium relationships, but also the short run dynamic interactions of the indices. The study documents a cointegrating vector on series during the 1997 financial crisis, indicating the existence of a long run equilibrium relationship among the indices at the time. However, none of cointegrating relationship to be found in the two subsequent periods. The block causality test together with the accounting innovation analysis applied on the series reveal that the short run interrelation among the regional indices seems to be more intense during the 2007 financial crisis period. In the latest period of crisis, the number of significant causal linkages between two variables on the series was greater than those before. And, the accounting innovation analysis shows that the explanatory power of an endogenous variable to another in the system increased during the latest crisis, implying that the contagious effect of the crisis had increased interdependence of the five stock markets in the short run.

    Item Type: Conference or Workshop Item (Paper)
    Subjects: H Social Sciences > HG Finance
    Divisions: Faculty of Economic > Accounting Department
    Depositing User: Adwin Surya Atmadja
    Date Deposited: 08 May 2012 09:59
    Last Modified: 08 May 2012 09:59
    URI: http://repository.petra.ac.id/id/eprint/15430

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