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https://doi.org/10.1016/S0922-1425(98)00021-8

has been cited by the following article:

• TITLE: Exploring the Cointegration Relation among Top Eight Asian Stock Markets

  AUTHORS: Muhammad Rizwanullah, Lizhi Liang, Xiuyuan Yu, Jinan Zhou, Muhammad Nasrullah, Muhammad Uzair Ali

  KEYWORDS: Cointegration, Eigenvalue, Portfolio, Granger Causality

  JOURNAL NAME: Open Journal of Business and Management, Vol.8 No.3, April 21, 2020

  ABSTRACT: Asian stock market faces many favorable and unfavorable incidents of collapsing internal market in last decades. The local investors are interested especially in the countries like China, Malaysia, UAE and Bangladesh which are politically, geographically and strategically important as investment portfolio point of view. The investors have experience of moving many markets together in long run which is a bad news for investors to diversify their investment in different markets. Therefore, the objectives of the study is to find the direction and short and long run association among top eight Asian stock Markets by applying Johansen cointegration test and Granger Causality Test. The augmented unit root test and Phillips-Peron proved the presence of unit root in data at level. The cointegration analysis test based on trace statistics shows five cointegrating equation, while the maximum eigen valve test indicates two cointegrating equation at 5 percent significant level. Results imply that these markets are strongly cointegrated in long term which can diversify local and foreigner investors. The Granger Causality shows that 13 pairs of markets are bidirectional while 12 pairs are unidirectional and 3 pairs have no causality. From the result it is obtained that integrated markets are useful for decreasing the chances of financial stability and asymmetric shocks, which can strengthen the capability of the economy to absorb the shocks and adequate the risk of international financial contagion. It is concluded that for investor views there are still possibilities for efficient portfolio diversification across these markets. In addition further study should be carried out to find the reason of cointegration.