Who Moves the Malaysian Stock Market— the U.S. or Japan?: Empirical Evidence from the Pre-, During, and Post-1997 Asian Financial Crisis

Who Moves the Malaysian Stock Market— the U.S. or Japan?: Empirical Evidence from the Pre-, During, and Post-1997 Asian Financial Crisis

This paper examines long run co-movements between Malaysian stock market and the two largest stock markets in the world: the U.S. and Japan. By employing time-series analysis, i.e., cointegration, variance decompositions, and impulse response functions, the paper seeks to investigate which market ac...

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Bibliographic Details
Main Authors: Rosylin Mohd. Yusof, M. Shabri Abd. Majid
Format: Article
Language:English
Published: Universitas Gadjah Mada 2006-09-01
Series:Gadjah Mada International Journal of Business
Subjects:
cointegration
diversification benefit
impulse response functions
stock market integration
variance decompositions
Online Access:https://jurnal.ugm.ac.id/gamaijb/article/view/5616

Internet

https://jurnal.ugm.ac.id/gamaijb/article/view/5616

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