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International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets

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Author Info

  • Y. Liu
  • Ming-Shiun Pan
  • Joseph Shieh
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    Abstract

    Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Our results generally indicate that (1) the degree of interdependence among national stock markets has increased substantially after the 1987 stock market crash, (2) the U.S. market plays a dominant role of influencing the Pacific-Basin markets, (3) Japan and Singapore together have a significant persistent impact on the other Asian markets, and (4) the markets in Taiwan and Thailand are not efficient in processing international news. Copyright Springer 1998

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    File URL: http://hdl.handle.net/10.1007/BF02823233
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 22 (1998)
    Issue (Month): 1 (March)
    Pages: 59-69

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    Handle: RePEc:spr:jecfin:v:22:y:1998:i:1:p:59-69

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    Web page: http://link.springer.de/link/service/journals/120857/index.htm

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    References

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    1. Hilliard, Jimmy E, 1979. "The Relationship between Equity Indices on World Exchanges," Journal of Finance, American Finance Association, vol. 34(1), pages 103-14, March.
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    Cited by:
    1. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland, Institute for Economies in Transition.
    2. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
    3. 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.
    4. Nagayasu, Jun, 2010. "Economic Factors Contributing to Time-Varying Conditional Correlations in Stock Returns," MPRA Paper 28391, University Library of Munich, Germany.
    5. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
    6. Abraham, Abraham & Seyyed, Fazal J., 2006. "Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain," Research in International Business and Finance, Elsevier, vol. 20(3), pages 276-285, September.
    7. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia.

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