Who moves East Asian stock markets? The role of the 2007-2009 global financial crisis

摘要

This paper examines the integration and causality of interdepen-dencies among six major East Asian stock exchanges, while also considering their interactions with the USA before and during the 2007-2009 global financial crisis. The data reveal that the global financial crisis has strengthened the linkages among stock markets in East Asia. Though the influences of the Hong Kong and Singaporean stock markets have declined somewhat over time, the South Korean and Japanese stock markets become more important in the region. Finally, East Asian stock markets are less responsive to the shocks in the USA after the crisis.