International Stock Market Linkages: Evidence from the Asian Financial Crisis

This article investigates dynamic linkages and interactions of Asian stock markets using a Vector Autoregression (VAR) model. Our findings show that during the financial crisis the markets became more closely linked, with the exception of Malaysia. The article finds that Singapore and Aus tralia exerted increased linkages on the other Asian stock markets during the crisis. The results also show that while the US market maintained its ties with the Asian markets, the US market remained independent during the crisis.