IDEAS home Printed from https://ideas.repec.org/a/eee/asieco/v14y2003i4p541-563.html
   My bibliography  Save this article

Do stock price indices respond asymmetrically?: Evidence from China, Japan, and South Korea

Author

Listed:
  • Bahng, Joshua Seungwook
  • Shin, Seung-myo

Abstract

No abstract is available for this item.

Suggested Citation

  • Bahng, Joshua Seungwook & Shin, Seung-myo, 2003. "Do stock price indices respond asymmetrically?: Evidence from China, Japan, and South Korea," Journal of Asian Economics, Elsevier, vol. 14(4), pages 541-563, August.
    • Handle: RePEc:eee:asieco:v:14:y:2003:i:4:p:541-563
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1049-0078(03)00094-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Di Iorio, Amalia & Faff, Robert, 2000. "An analysis of asymmetry in foreign currency exposure of the Australian equities market," Journal of Multinational Financial Management, Elsevier, vol. 10(2), pages 133-159, June.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Dekker, Arie & Sen, Kunal & Young, Martin R., 2001. "Equity market linkages in the Asia Pacific region: A comparison of the orthogonalised and generalised VAR approaches," Global Finance Journal, Elsevier, vol. 12(1), pages 1-33.
    4. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 241-256, June.
    5. Pagan, Jose A. & Soydemir, Gokce A., 2001. "Response asymmetries in the Latin American equity markets," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 175-185.
    6. Edward Ng, 1998. "Asymmetric Price Response to Supply: Evidence from Singapore," International Real Estate Review, Global Social Science Institute, vol. 1(1), pages 45-63.
    7. Jang, Hoyoon & Sul, Wonsik, 2002. "The Asian financial crisis and the co-movement of Asian stock markets," Journal of Asian Economics, Elsevier, vol. 13(1), pages 94-104.
    8. Nikiforos Laopodis, 2001. "Time-Varying Behavior and Asymmetry in EMS Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 15(4), pages 81-94.
    9. Arshanapalli, Bala & Doukas, John & Lang, Larry H. P., 1995. "Pre and post-October 1987 stock market linkages between U.S. and Asian markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 57-73, May.
    10. Sam Peltzman, 2000. "Prices Rise Faster than They Fall," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 466-502, June.
    11. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    12. Y. Liu & Ming-Shiun Pan & Joseph Shieh, 1998. "International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 59-69, March.
    13. Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 155-173, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Girardin, Eric & Liu, Zhenya, 2007. "The financial integration of China: New evidence on temporally aggregated data for the A-share market," China Economic Review, Elsevier, vol. 18(3), pages 354-371.
    2. Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011. "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, vol. 28(1-2), pages 526-539, January.
    3. Huyghebaert, Nancy & Wang, Lihong, 2010. "The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?," China Economic Review, Elsevier, vol. 21(1), pages 98-112, March.
    4. Lee, Chia-Hao & Chou, Pei-I, 2020. "Structural breaks in the correlations between Asian and US stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    5. Miyakoshi, Tatsuyoshi & Tsukuda, Yoshihiko & Shimada, Junji, 2016. "Magnitudes of Market Inefficiency: Theory and Application," Japan and the World Economy, Elsevier, vol. 39(C), pages 23-36.
    6. repec:zbw:bofitp:2012_004 is not listed on IDEAS
    7. Mansor H. IBRAHIM, 2006. "International Linkage Of Asean Stock Prices: An Analysis Of Response Asymmetries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
    8. Sowmya Dhanaraj & Arun Kumar Gopalaswamy & Suresh Babu M, 2013. "Dynamic interdependence between US and Asian markets: an empirical study," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 5(2), pages 220-237, April.
    9. Mansor H. Ibrahim, 2012. "Financial market risk and gold investment in an emerging market: the case of Malaysia," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 5(1), pages 25-34, March.
    10. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets : National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland, Institute for Economies in Transition.
    11. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    12. Dhaoui Abderrazak & Chevallier Julien & Ma Feng, 2021. "Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-19, April.
    13. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 26(2), pages 92-112.
    14. Rahul Verma & Priti Verma, 2005. "Do Emerging Equity Markets Respond Symmetrically to US Market Upturns and Downturns? Evidence from Latin America," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(3), pages 193-208, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Srinivasan Palamalai & Kalaivani M. & Christopher Devakumar, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," SAGE Open, , vol. 3(4), pages 21582440135, November.
    2. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
    3. Sowmya Dhanaraj & Arun Kumar Gopalaswamy & Suresh Babu M, 2013. "Dynamic interdependence between US and Asian markets: an empirical study," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 5(2), pages 220-237, April.
    4. Aman Srivastava & Shikha Bhatia & Prashant Gupta, 2015. "Financial Crisis and Stock Market Integration: An Analysis of Select Economies," Global Business Review, International Management Institute, vol. 16(6), pages 1127-1142, December.
    5. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
    6. Shahzad, Syed Jawad Hussain & Ahmed, Tanveer & Rehman, Mobeen Ur & Zakaria, Muhammad, 2014. "Relationship between Developed, Emerging and South Asian Equity Markets: Empirical Evidence with a Multivariate Framework Analysis," MPRA Paper 60398, University Library of Munich, Germany.
    7. Suk-Joong Kim, 2018. "The Spillover Effects of US and Japanese Public Information News in Advanced Asia-Pacific Stock Markets," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 6, pages 175-201, World Scientific Publishing Co. Pte. Ltd..
    8. Ritesh Patel, 2021. "ASEAN-5 and Indian Financial Market Linkages: Evidence from Cointegration and Factor Analysis," Capital Markets Review, Malaysian Finance Association, vol. 29(1), pages 41-58.
    9. Rahul Verma & Priti Verma, 2005. "Do Emerging Equity Markets Respond Symmetrically to US Market Upturns and Downturns? Evidence from Latin America," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(3), pages 193-208, December.
    10. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper series 21_13, Rimini Centre for Economic Analysis.
    11. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42.
    12. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236, Bank for International Settlements.
    13. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
    14. Francisca Pérez, 2013. "Are International Market Linkages Stronger? Comparison between 1990s and 2000s," Working Papers Central Bank of Chile 687, Central Bank of Chile.
    15. Minho Kim & Andrew C. Szakmary & Thomas V. Schwarz, 1999. "Trading costs and price discovery across stock index futures and cash markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 475-498, June.
    16. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
    17. repec:ebl:ecbull:v:7:y:2006:i:5:p:1-15 is not listed on IDEAS
    18. Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi, 2012. "How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 349-362.
    19. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
    20. Maysami, Ramin Cooper & Koh, Tiong Sim, 2000. "A vector error correction model of the Singapore stock market," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 79-96, February.
    21. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:asieco:v:14:y:2003:i:4:p:541-563. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/asieco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.