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A spatial–temporal analysis of East Asian equity market linkages
Pui Sun Tam
Source PublicationJournal of Comparative Economics

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
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Document TypeJournal article
AffiliationFaculty of Business Administration, University of Macau, Av. Padre Tomás Periera, Taipa, Macau
First Author AffilicationFaculty of Business Administration
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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.
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