The international stock market crisis of 1997 and the dynamic relationships between Asian stock markets: linear and non‐linear Granger causality tests

Abstract

Examines the dynamic relationships between stock markets in Japan, Hong Kong, Singapore, Malaysia, Taiwan and Thailand before, during and after the October 1997 crisis. Discusses linear and non‐linear Granger causality tests and applies both to stock market data for three time periods between Jan 1997 and Oct 1998. Presents the results, which suggest that Hong Kong, Singapore and Malaysia led the Asian crisis, Taiwan and Thailand followed but Japan played no part in spreading it. Considers consistency with other research and the implications for these stock exchanges, their regulators and future research.

Citation

Alexakis, P. and Siriopoulos, C. (1999), "The international stock market crisis of 1997 and the dynamic relationships between Asian stock markets: linear and non‐linear Granger causality tests", Managerial Finance, Vol. 25 No. 8, pp. 22-38. https://doi.org/10.1108/03074359910766091