Interdependence among emerging Asian stock markets.
Author
Koh, Hock Ghee.
Date of Issue
1998School
College of Business (Nanyang Business School)
Abstract
More open capital markets and better telecommunication in the 1980s and 1990s may have made even emerging stock markets more interdependent. This paper examines the interdependence of stock markets in eight East Asian countries using an MA(1)-GARCH(1,1)-M model and tests of causality in mean and variance.
Subject
DRNTU::Business::Finance::Stock exchanges
Type
Final Year Project (FYP)
Rights
Nanyang Technological University
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