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Modelling evolving long-run relationships: The linkages between stock markets in Asia

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dc.contributor.author Fernández Serrano, José Luis
dc.contributor.author Sosvilla-Rivero, Simón
dc.date.accessioned 2016-09-13T15:36:01Z
dc.date.available 2016-09-13T15:36:01Z
dc.date.issued 2001
dc.identifier.citation Fernández- Serrano, J. L., & Sosvilla-Rivero, S. (2001). Modelling evolving long-run relationships: The linkages between stock markets in Asia. Japan and the World Economy, 13(2), 145-160. DOI: 10.1016/S0922-1425(01)00054-8 spa
dc.identifier.issn 09221425
dc.identifier.uri http://hdl.handle.net/11268/5752
dc.description.abstract This paper examines the linkages between the stock markets in Asia during the 1977-1999 period using recently-developed co-integration techniques that allow for structural shifts in the long-run relationship. Our results suggest that, if we apply conventional co-integration tests, we do not find evidence of a long run relationship between the Asian stock markets. In contrast, if we introduce the possibility of structural breaks, we find strong evidence in favour of such relationship between the Taiwanese and Japanese indices from October 1987, while some marginal co-integration is detected between Singapore and Japan until February 1992 and between Korea and Japan from April 1987. spa
dc.description.sponsorship SIN FINANCIACIÓN spa
dc.language.iso eng spa
dc.title Modelling evolving long-run relationships: The linkages between stock markets in Asia spa
dc.type article spa
dc.description.impact 0.239 JCR (2001) Q4, 137/165 Economics spa
dc.identifier.doi 10.1016/S0922-1425(01)00054-8
dc.rights.accessRights openAccess spa
dc.subject.uem Economía de mercado spa
dc.subject.uem Asia spa
dc.subject.uem Cambio organizacional spa
dc.subject.unesco Economía de mercado spa
dc.subject.unesco Asia spa
dc.subject.unesco Cambio organizacional spa
dc.description.filiation UEM spa
dc.peerreviewed Si spa


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