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Causality and cointegration of stock markets within the Asian growth triangle

23rd International Congress on Modelling and Simulation (MODSIM2019), 2019

The Authors and Modelling and Simulation Society of Australia and New Zealand Inc. https://creativecommons.org/licenses/by/4.0/ Attribution ;ISBN: 9780975840092 ;ISBN: 0975840096 ;DOI: 10.36334/modsim.2019.e1.abidin

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  • Title:
    Causality and cointegration of stock markets within the Asian growth triangle
  • Author: Abidin, Sazali ; Banchit, A
  • Subjects: ANZSRC::140210 International Economics and International Finance ; ANZSRC::1502 Banking, Finance and Investment ; ANZSRC::150201 Finance ; ANZSRC::150205 Investment and Risk Management ; Asian market ; causality ; China ; cointegration ; stock returns
  • Is Part Of: 23rd International Congress on Modelling and Simulation (MODSIM2019), 2019
  • Description: This paper explores the co-integration and causality relationships amongst the Asian Triangle stock exchange indices. These Asian triangle regions consists of the eight key markets of Shanghai, Shenzhen, Hong Kong, Thailand, Philippines, Malaysia, Korea, and Indonesia. In applying modern unit root and co-integration econometric techniques that will allow for structural breaks over our sample period of data (October 2002 to August 2018), we found that there is no co-integration within these markets except for that between Shenzhen and Shanghai. By using Granger causality tests, Johansen, and impulse response functions, we will show that stock price changes in Hong Kong have more impact on Asian triangle markets than that of any other market. More specifically, price changes in the Philippines market can be used to gauge the succeeding movement of the other Asian markets excluding Shenzhen and Shanghai. We develop various potential and current relationships within these markets that would lead one to further empirical research. Our overall finding was that Hong Kong being the epicenter still plays an important role in assisting and motivating emerging markets as shown through our impulse response testing and would therefore not yet rule out the importance of developed economies.
  • Publisher: Modelling and Simulation Society of Australia and New Zealand
  • Language: English
  • Identifier: ISBN: 9780975840092
    ISBN: 0975840096
    DOI: 10.36334/modsim.2019.e1.abidin
  • Source: Lincoln University Research Archive
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