Integration Between South East Asian Stock Markets Before and During the Occurrence of Covid-19
Sweta Kumari, Dr Vaishali Jain.
Abstract
The paper aims to study the dynamics of the long run and short run cointegration between important indexes of South East Asian countries for the period before to the occurrence of the pandemic, COVID-19 (01.04.2019- 29.11.2019) and during the pandemic (02.12.2019-3231.07.2020). The data collected is the daily closing prices of the indexes. The countries under study are Hong Kong, South Korea, Japan, Thailand, China, Singapore and Taiwan. Johansens Cointegration test shows the existence of a long-run association before and during the crisis. Although, VECM Granger causality shows the altered causation over the occurrence of pandemic and changed economic environment which is unidirectional as well as bidirectional in nature. Detailed country by country analysis is given. Results show that the short term cointegration has changed but is not evident in the current scenario. The finding of the study could be beneficial for international investors, policymakers and academicians.
Key words: International Economics, Stock Market Integration, Econometrics and Statistical Models, Time Series, Cointegration, Global Crisis
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