UM  > 工商管理學院  > 金融及商業經濟學系
A spatial–temporal analysis of East Asian equity market linkages
Pui Sun Tam
2014-04-05
Source PublicationJournal of Comparative Economics
ISSN0147-5967
Volume42Issue:2Pages:304-327
Abstract

This paper examines East Asian equity market linkages in and out of the Asian and global financial crises using a novel econometric approach. The market dependence structure and shock transmission mechanism are explored spatially in the time domain, thus offering new insights into the dynamic regional market linkage patterns. Results show that East Asian equity markets are characterized by linkages through significant spatial effects, crises are conducive to increased cross-border linkages especially in the case of China, and Japan is a dominant driver of market linkages in the region.

KeywordEast Asia Equity Market Linkages Financial Crisis Spatial Dependence
DOIhttps://doi.org/10.1016/j.jce.2014.03.008
Indexed BySSCI
Language英语
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationFaculty of Business Administration, University of Macau, Av. Padre Tomás Periera, Taipa, Macau
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Pui Sun Tam. A spatial–temporal analysis of East Asian equity market linkages[J]. Journal of Comparative Economics,2014,42(2):304-327.
APA Pui Sun Tam.(2014).A spatial–temporal analysis of East Asian equity market linkages.Journal of Comparative Economics,42(2),304-327.
MLA Pui Sun Tam."A spatial–temporal analysis of East Asian equity market linkages".Journal of Comparative Economics 42.2(2014):304-327.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Pui Sun Tam]'s Articles
Baidu academic
Similar articles in Baidu academic
[Pui Sun Tam]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Pui Sun Tam]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.