Post Global Financial Crisis and dynamic linkages among the East Asian equity markets

The paper investigates the dynamic linkages among the seven equity markets in the East Asian region over the post Global Financial Crisis, including Hong Kong, Singapore, Japan, Malaysia, Taiwan, Thailand and Vietnam. Three main methods employed in the paper are the multivariate co-integration test (Johansen test) and multivariate Granger causality test based on the vector autoregression (VAR) model and the diagonal BEKK-MGARCH model. Our findings reveal an existence of one co-integrating vector among the markets suggesting a long-run linkage of the markets during the post-GFC period. The leading roles of the United States and Singapore equity markets are suggested as they significantly influence almost all the markets in the sample, while the Hong Kong and Vietnam equity markets are found as the lagging markets in the region. In addition, empirical evidence of the high volatility linkages is discovered between the United States and each of the East Asian markets during the post-GFC period.