12 research outputs found
ASEAN-5+3 AND US STOCK MARKETS INTERDEPENDENCE BEFORE, DURING AND AFTER ASIAN FINANCIAL CRISIS
The issues of international stock markets linkages had been investigated over the time. Since the Asian financial crisis in 1997, many economists are concerned about the relationship between Asian stock markets and others in the world. This paper is conducted to examine the linkages between ASEAN-5+3 namely Malaysia, Singapore, the Philippines, Thailand, Indonesia, China, Japan and Korea and US stock markets. The data consists of weekly stock indices data. The total samples are separated into three subperiods. First period is pre-crisis period spanning from January 1990 to June 1997. Second period is during-crisis period spanning from July 1997 to June 1998. Third period is post-crisis period spanning from July 1998 to May 2007. All the indices applied are expressed in local currencies. The empirical analysis begins with testing the stationarity properties of the data. All the countries are found to be stationary at first difference except for Japan for pre-crisis period. Next, cointegration test is employed to test the long-run stationary relationship among the stock markets. The number of significant cointegrating vector is higher during-crisis compare to other periods whereas the same number of cointegrating vector is found before and after crisis. Granger-causality based on VECM showed that Thailand is exogenous whereby Malaysia is the most endogenous at before and during the crisis. After the crisis, US become dominant compare to the other countries. In conclusion, we found that ASEAN- 5+3 and US stock markets are interdependence during crisis and post-crisis periods and the impact of US stock market is effective in ASEAN-5+3 stock markets only for pre and during-crisis periodsStock markets, Cointegration, Granger-causality, ASEAN
The relationship between trade openness, foreign direct investment and growth: Case of Malaysia
This study examines the role of trade openness and foreign direct investment in influencing economic growth in Malaysia during 1975-2005, using the Bounds testing approach suggested by Pesaran et al. (2001). The empirical results demonstrate that trade openness is positively associated and statistically significant determinant of growth, both in short run and the long run. The result also suggested that foreign direct investment is positively associated in the short run and negatively associated in the long run, both significantly. Besides these two variables, the other control variable namely exchange rate is also significant in the short run as well as in the long run.trade openness; foreign direct investment; economic growth; Malaysia
Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia
The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.Stock price, exchange rate, Asian financial crisis, Cointegration
Convergence of violent crime in the United States: Time series test of nonlinear
This study examines the violent crime convergence among the fifty one states in the United States. The chosen method for this analysis is nonlinear unit root test due to Kapetanios et al. (KSS, 2003), which was later extended by Chong et al. (CHLL, 2008). KSS-CHLL nonlinear unit root was applied for the test of nonlinear convergence among the fifty one states with respect to the national average for the period 1960 to 2007. Result of the study indicates that eight cases of long run converging, two cases of catching up, while the remainder forty one are diverging from the national average.convergence of crime; united states; non-linear
ASEAN-5+3 and US stock markets interdependence before, during and after Asian financial crisis
The issues of international stock markets linkages had been investigated over the time. Since the Asian financial crisis
in 1997, many economists are concerned about the relationship between Asian stock markets and others in the world. The main objective of this paper is to examine the linkages between ASEAN-5+3 namely Malaysia, Singapore, the
Philippines, Thailand, Indonesia, China, Japan and Korea an
d US stock markets. The data consists of weekly stock
indices data. The total samples are separated into three sub-periods. All the indices applied are expressed in local
currencies. In conclusion, we found that ASEAN-5+3 and US stock markets are interdependence during crisis and
post-crisis periods and the impact of US stock market is
effective in ASEAN-5+3 stock markets only for pre- and
during-crisis periods
ASEAN-5+3 AND US STOCK MARKETS INTERDEPENDENCE BEFORE, DURING AND AFTER ASIAN FINANCIAL CRISIS
The issues of international stock markets linkages had been investigated over the time. Since the Asian
financial crisis in 1997, many economists are concerned about the relationship between Asian stock
markets and others in the world. This paper is conducted to examine the linkages between ASEAN-5+3
namely Malaysia, Singapore, the Philippines, Thailand, Indonesia, China, Japan and Korea and US stock
markets. The data consists of weekly stock indices data. The total samples are separated into three subperiods.
First period is pre-crisis period spanning from January 1990 to June 1997. Second period is
during-crisis period spanning from July 1997 to June 1998. Third period is post-crisis period spanning
from July 1998 to May 2007. All the indices applied are expressed in local currencies. The empirical
analysis begins with testing the stationarity properties of the data. All the countries are found to be
stationary at first difference except for Japan for pre-crisis period. Next, cointegration test is employed
to test the long-run stationary relationship among the stock markets. The number of significant
cointegrating vector is higher during-crisis compare to other periods whereas the same number of
cointegrating vector is found before and after crisis. Granger-causality based on VECM showed that
Thailand is exogenous whereby Malaysia is the most endogenous at before and during the crisis. After
the crisis, US become dominant compare to the other countries. In conclusion, we found that ASEAN-
5+3 and US stock markets are interdependence during crisis and post-crisis periods and the impact of
US stock market is effective in ASEAN-5+3 stock markets only for pre and during-crisis period
Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia
The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods
The relationship between trade openness, foreign direct investment and growth: Case of Malaysia
This study examines the role of trade openness and foreign direct investment in influencing economic growth in Malaysia during 1975-2005, using the Bounds testing approach suggested by Pesaran et al. (2001). The empirical results demonstrate that trade openness is positively associated and statistically significant determinant of growth, both in short run and the long run. The result also suggested that foreign direct investment is positively associated in the short run and negatively associated in the long run, both significantly. Besides these two variables, the other control variable namely exchange rate is also significant in the short run as well as in the long run
Convergence of violent crime in the United States: Time series test of nonlinear
This study examines the violent crime convergence among the fifty one states in the United States. The chosen method for this analysis is nonlinear unit root test due to Kapetanios et al. (KSS, 2003), which was later extended by Chong et al. (CHLL, 2008). KSS-CHLL nonlinear unit root was applied for the test of nonlinear convergence among the fifty one states with respect to the national average for the period 1960 to 2007. Result of the study indicates that eight cases of long run converging, two cases of catching up, while the remainder forty one are diverging from the national average
Causation analysis between stock price and exchange rate: Pre and post crisis study on Malaysia
The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods