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Price Transmission and Market Openness A Comparative Analysis of Asian Stock Markets

Author

Listed:
  • Lifan Wu

    (Department of Finance and Law, California State University, 5151 State University Drive, Los Angeles, CA 90032, USA)

  • Asani Sarkar

    (The Federal Reserve Bank of New York, Research Department, 33 Liberty Street, New York, NY 10045, USA)

Abstract

This paper studies the degree of impact of stock prices listed on the New York Stock Exchange and Tokyo Stock Exchange regarding price behavior in Asian stock markets. Our evidence shows that the pattern and magnitude of impact varies. Returns in Hong Kong, Singapore, and Malaysia are more sensitive than those in Taiwan, Korea and Thailand. The response patterns in the Asian markets suggest that foreign influence is significantly correlated to the degree of market openness.

Suggested Citation

  • Lifan Wu & Asani Sarkar, 1998. "Price Transmission and Market Openness A Comparative Analysis of Asian Stock Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 215-232.
    • Handle: RePEc:wsi:rpbfmp:v:01:y:1998:i:02:n:s0219091598000168
    DOI: 10.1142/S0219091598000168
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    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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