Puah, Chin Hong and Brahmana, Rayenda Khresna and Wong, Kai Hung (2015) Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis:Insight From BRIC Countries. Economics and Finance in Indonesia, 61 (2). pp. 120-130. ISSN 0126-155X
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Abstract
This study revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock mar- ket, with the particular attention to the 2008 subprime mortgage crisis. Extending related empirical studies, comparative analyses of pre-crisis, and post-crisis periods were conducted to comprehensively evaluate how stock market integration was affected by financial crises. In general, after employing cointegration test and VAR test, the results reveal the increase of stock market integration in BRICs after the subprime crisis. The evidence also found that China stock market is the most influential among the BRICs, in which China stock market has the ability to Granger cause the other three BRICs member countries. An important impli- cation of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises.
| Item Type: | Article |
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| Uncontrolled Keywords: | Market Integration; Subprime Mortgage; Financial Crisis; BRIC, research, Universiti Malaysia Sarawak, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education |
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Ab Rahim |
| Date Deposited: | 06 Oct 2017 04:24 |
| Last Modified: | 06 Oct 2017 04:24 |
| URI: | http://ir.unimas.my/id/eprint/18010 |
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