Exploring dynamic causal linkages between Major Stock Exchanges of Asia and established markets of UK, USA, Germany and Japan - A comparative analysis of Pre and Post era of Global Financial Crisis
Journal Title: Pakistan Journal of Economic Studies - Year 2021, Vol 4, Issue 2
Abstract
This study explores the linkages between regional stock markets of three Asian (China, Pakistan and India) countries with well-established stock markets of Germany, United Kingdom, United States of America and Japan. Impact of global financial crisis (2008) has been analyzed on stock markets of sample countries by disaggregating the stock indices data into pre and post global financial crisis regimes. This study has employed weekly data of stock market from March 2001 to February 2008 to represent pre financial crisis performance of stock market whereas data from March 2008 to February 2016 refers to post financial crisis regime. Time-series techniques of unit-root testing, Johansen method of cointegration, Vector Error correction mechanism, variance decompositions, Impulse response function were employed. Results obtained suggest that integration and dynamic linkages among stock markets of sample countries have strengthen after financial crisis. This study advises the investors to include other markets in their portfolio as well so that their risk gets distributed to other markets as well. The policy makers may consider the fact that the degree of financial integration of regional stock markets has increased after the event of global financial crisis and the markets are no more regional markets.
Authors and Affiliations
Sajid Salim, Mirza Aqeel Baig, Irfan Lal
Keywords
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