@article{MAKHILLIBM201812227371,
    title = {The 2007-09 US Crisis Impact on Asian Stock Markets Integration and
Dynamic Linkages-An Introspect},
    journal = {International Business Management},
    volume = {12},
    number = {2},
    pages = {163-188},
    year = {2018},
    issn = {1993-5250},
    doi = {ibm.2018.163.188},
    url = {https://makhillpublications.co/view-article.php?issn=1993-5250&doi=ibm.2018.163.188},
    author = {Ranjan},
    keywords = {JJ cointegration,India and US, Asian markets,portfolio diversification,Co-integration and dynamic linkages,sign and size coefficients,Granger causality},
    abstract = {Post-liberalization in 1980s many Asian markets have become an attractive portfolio diversification
destination to the international and US investors. This raised research interest on these markets specifically
in issues of co-integration and dynamic linkages. Here, I have taken sixteen Asian stock markets including
representatives from SAARC, ASEAN and MENA and both developed and emerging ones under one panel
along with the US market to investigate long-run co-integration and short-run dynamic relationships for the
overall study period (January, 2005-June, 2012) and in pre-, during and post-crisis sub-periods. To fulfill my
objectives, I have used graphical presentations, descriptive statistics results, ADF and PP tests, Johansen and
Juselius’s co-integration technique and sign and size of vector coefficients, Granger’s causality and impulse
response function analysis to investigate long-run integration and short-run dynamic linkages and variance
decomposition analysis to examine volatility transmission impact. Results show time-variant degrees of cointegration
in between the Asian and US markets. India is undoubtedly one of the strongest contenders to
attract most of the foreign inflows as it shows positive market returns overall and during-the-crisis period also.
This study would support the international investors, especiall, the Indian and US ones and their investment
consultants and others to prioritize their portfolio diversification strategies in similar future periods.}
    }