The objective of this study is to empirically examine the income disparity between Japan and each of the five major economies of South East Asia (ASEAN-5) during the period of 1960 to 1997, utilizing the popular augmented Dickey-Fuller (ADF) unit root test. The results provide evidence of income...

This study finds that there is a common force which brings all the five ASEAN stock markets together in the long run by the nonparametric tests. This suggests that shocks from any of these five markets may spillover to the other markets in the same region. The recent Asian financial crisis bears...

This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the...

The finding of exchange rate–relative price nonlinear cointegration relationship in Malaysia, among others, suggests that nonlinear Purchasing Power Parity (PPP) equilibrium may be regarded as reference point in judging the short run misalignment of the Ringgit currency and thereby...

This study measures the speed with which the aggregate stock market in 49 countries responds to global market-wide public information. Our empirical results show that there are wide variations in the aggregate price delay values over time and across countries. Subsequent panel analysis confirms...

This study utilizes the Hinich portmanteau bicorrelation test in conjunction with the windowed testing procedure to examine the cross-temporal universality of non-linear dependencies in the returns series for Asian stock market indices. As a whole, the detected non-linear dependencies do not...

The finding of exchange rate–relative price nonlinear cointegration relationship in Malaysia, among others, suggests that nonlinear Purchasing Power Parity (PPP) equilibrium may be regarded as reference point in judging the short run misalignment of the Ringgit currency and thereby deducing...

This study examines the issue of income convergence in the East-Asian economies from the non-linear point of view. It is shown in this study that the income gaps between Japan and the rest of the East-Asian economies exhibit nonlinearities. It is further shown that after taking non-linearity...

This study examines the issue of income convergence in the East-Asian economies from the non-linear point of view. It is shown in this study that the income gaps between Japan and the rest of the East-Asian economies exhibit nonlinearities. It is further shown that after taking non-linearity...

This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the...