Jian Yang, Cheng Hsiao, Qi Li, Zijun Wang, "The Emerging Market Crisis and Stock Market Linkages: Further Evidence", Journal of Applied Econometrics, Vol. 21, No. 6, 2006, pp. 727-744. The data used in this paper are stock index closing prices. All variables are saved in the file yhlwdata.txt, an ASCII file in DOS format. This file is zipped in the file yhlwdata.zip. The 11 variables are prices of, in order: Russia, Poland, Hugary, Czech, Germany, US (local currency), and Russia, Poland, Hugary, Czech, German (denominated in US $). There are 1955 observations, spanning the period from January 2, 1995 to June 28, 2002. The data are obtained from Datastream databank. For additional questions, please contact Zijun Wang z-wang [AT] neo.tamu.edu