This study aims at examining the long-run cointegration relationship for Malaysian stock and bond market indices in the period surrounding the Asian financial crisis based on the Breitung (2001) rank test procedures. The paper argues that the standard cointegration tests do not allow for breaks...

This study utilizes size and activity to measure the development of the banking sector and stock market. Both linear and nonlinear Granger causality tests are used to examine the causality between variables. The results computed from linear and nonlinear Granger causality tests are compared with...