Nexus of Asian Equity Markets and Global Financial Crisis
DOI:
https://doi.org/10.11113/jt.v64.2285Keywords:
Portfolio diversification, Factor analysis, Asian equity markets, Global Financial crisisAbstract
The purpose of this study is to examine the effect of Global Financial Crisis on interlinking connectivity of Asian equity markets. Weekly data of 12 major stock indices from 1st January, 2000 to 10th September, 2010 is used in the study. The impact of Global Financial Crisis 2007 on co-movement of Asian markets is analyzed by applying Rotated Factor Analysis technique. Results of the analysis revealed that Asian markets demonstrate a linear interaction. However, nexus of Asian markets stayed similar in pre-and post-financial crisis periods. Findings of the study can be used by Asian regional investors to construct their investment portfolios to minimize the systematic risk through diversification.
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