The Linkages of the South Asian Stock Market Movements Before, During and After 2007–2009 Crisis.
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ABSTRACT: This paper examines whether there areco-integration, granger-causality and impulse-responseamong 4 countries stock exchangesinSouthAsian,andalsoconsideringtheirinteractionswithSingapore and the UnitedKingdom before, during and after the financial crisis in 2007-2009. The data reveal that globalfinancialcrisishasstrengthenedthelinkagesamongSouthAsianstockexchanges, this seen before crisis only India hasinfluenced other South Asian countries, but after crisisnotonlyin India, butalsoothercountries. United Kingdom hasno influenced before, during andafterglobalfinancialcrisis.Singapore,aftercrisisinfluencedSri Lanka, not before.
KEYWORDS: Stock market interdependencies, Global financial crisis, Var analysis, Co-integration, South Asian