This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets,...

The purpose of this paper is to analyse the behaviour of four Southeast Asian stock markets during the intervals of high uncertainties that accompany crises. Our analysis emphasises the effect of unexpected volatility shifts on market efficiency of the four emerging Southeast Asian markets over...