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

  • Bahng, Joshua Seungwook
  • Shin, Seung-myo
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    File URL: http://www.sciencedirect.com/science/article/B6W53-49JHS6T-3/2/96e1f3421a70bc0f110d15413f06da97
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    Article provided by Elsevier in its journal Journal of Asian Economics.

    Volume (Year): 14 (2003)
    Issue (Month): 4 (August)
    Pages: 541-563

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    Handle: RePEc:eee:asieco:v:14:y:2003:i:4:p:541-563
    Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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    1. Sam Peltzman, 2000. "Prices Rise Faster than They Fall," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 466-502, June.
    2. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    3. 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.
    4. 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.
    5. Nikiforos Laopodis, 2001. "Time-Varying Behavior and Asymmetry in EMS Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 15(4), pages 81-94.
    6. 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.
    7. 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.
    8. 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.
    9. Edward Ng, 1998. "Asymmetric Price Response to Supply: Evidence from Singapore," International Real Estate Review, Asian Real Estate Society, vol. 1(1), pages 45-63.
    10. 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.
    11. 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, vol. 22(1), pages 59-69, March.
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