This article employed the Momentum Threshold Autoregressive (M-TAR) model to investigate the changes in the asymmetric co-integration relationship between the US and China's stock markets and Asian stock markets of Taiwan, Hong Kong, Singapore, Japan, Korea and India around the subprime mortgage crisis. The main empirical findings demonstrated that with the application of traditional symmetric co-integration tests, the subprime mortgage crisis did not reinforce the co-movement trends between the US and China's markets and Asian markets. However, with the application of the M-TAR model for the threshold co-integration test, there was significant increase in these asymmetric co-integration relationships between them during the period of the subprime mortgage crisis, and our empirical results show evidence that the linkage between the US and China's stock markets is low, and investors can somewhat diversify risks by investing in the United States and China simultaneously.
