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Pacific Rim Stock Market Integration Under Different Federal Funds Rate Regimes

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  • Daniel W.W. Cheung

Abstract

This study uses Sims‐type vector autoregression technique to examine the stock markets integration among the US and four major Asian‐Pacific stock exchanges during 1993 and 1994. The two different sample periods capture the change in US monetary policy in 1994. Empirical results show that when the US was targeting the federal funds rate in 1994, the variations in US stock returns much better explain the variations of stock returns in Hong Kong, Singapore and Australia.

Suggested Citation

  • Daniel W.W. Cheung, 1997. "Pacific Rim Stock Market Integration Under Different Federal Funds Rate Regimes," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9‐10), pages 1343-1351, October.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:9-10:p:1343-1351
    DOI: 10.1111/1468-5957.00166
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    Cited by:

    1. Santanu Das, 2016. "Cointegration of Bombay Stock Exchange with Major Asian Markets—A Copula Approach," Global Business Review, International Management Institute, vol. 17(3), pages 566-581, June.
    2. Donou-Adonsou, Ficawoyi, 2019. "Colonialism ties and stock markets: Evidence from Sub-Saharan Africa," Research in International Business and Finance, Elsevier, vol. 47(C), pages 327-343.
    3. Pasrun Adam & Ambo Wonua Nusantara & Abd AzisMuthalib, 2017. "Foreign Interest Ratesand the IslamicStock Market Integration between Indonesia and Malaysia," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(3), pages 639-659, Summer.
    4. Yang, Jack J. W., 2002. "The information spillover between stock returns and institutional investors' trading behavior in Taiwan," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 533-547.

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