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A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages

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dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorRumi Masih
dc.date.accessioned2018-11-05T11:30:52Z
dc.date.available2018-11-05T11:30:52Z
dc.date.issued1997
dc.description.abstractThe patterns of dynamic linkages are examined among national stock prices of four Asian Newly Industrializing Countries stock markets - Taiwan, South Korea, Singapore and Hong Kong - in models incorporating the established markets of Japan, USA, UK and Germany. Recent time-series techniques are employed, including unit root testing, multivariate cointegration, vector error-correction modelling (VECM), forecast error variance decomposition (VDC) and impulse response functions (IRFs). The results consistently appear to suggest the relatively leading role of all established markets in driving fluctuations in the NIC stock markets. In other words, all established markets and Hong Kong, consistently were the initial receptors of exogenous shocks to the (long-term) equilibrium relationships and the other NIC markets, particularly the Singaporean and Taiwanese markets had to bearmost of the burden of short-run adjustment to re-establish the long-termequilibriumrelationship. In comparison to all other NIC markets, Taiwan and Singapore appear as the most endogenous, with Taiwan providing evidence of its short-term vulnerability to shocks from the established markets.en_US
dc.identifier.citationMohammed Masih, A. M., & Masih, R. (1997). A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages. Applied Financial Economics, 7(1), 59-74. https://doi.org/10.1080/096031097333853en_US
dc.identifier.doihttps://doi.org/10.1080/096031097333853
dc.identifier.issn0960-3107
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2989
dc.languageEnglish
dc.language.isoengen_US
dc.publisherRoutledgeen_US
dc.rights1997. Routledge
dc.sourceSEDONA
dc.subjectStock pricesen_US
dc.subjectAsian Newly Industrializing Countriesen_US
dc.subjectStock marketsen_US
dc.subjectUnit root testingen_US
dc.subjectMultivariate cointegrationen_US
dc.subjectVector error-correction modelling (VECM)en_US
dc.subjectForecast error variance decomposition (VDC)en_US
dc.subjectImpulse response functions (IRFs)en_US
dc.titleA comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkagesen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional finance
dlc.subtopicCapital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional finance::Capital marketsen_US
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