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Who Moves the Asia-Pacific Stock Markets--US or Japan? Empirical Evidence Based on the Theory of Cointegration

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  • Ghosh, Asim
  • Saidi, Reza
  • Johnson, Keith H

Abstract

This study examines the recent debacle of the Asian-Pacific stock markets by utilizing the theory of cointegration to investigate which developing markets are moved by the markets of Japan and the United States. The empirical evidence suggests that some countries are dominated by the US, some are dominated by Japan, and the remaining countries are dominated by neither during the time period investigated. The appropriate error correction model is estimated and is used to perform out-of-sample forecasting. Copyright 1999 by MIT Press.

Suggested Citation

  • Ghosh, Asim & Saidi, Reza & Johnson, Keith H, 1999. "Who Moves the Asia-Pacific Stock Markets--US or Japan? Empirical Evidence Based on the Theory of Cointegration," The Financial Review, Eastern Finance Association, vol. 34(1), pages 159-170, February.
    • Handle: RePEc:bla:finrev:v:34:y:1999:i:1:p:159-70
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