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Correlations, trades and stock returns of the Pacific-Basin markets

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  • Chen, Nai-fu
  • Zhang, Feng

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  • Chen, Nai-fu & Zhang, Feng, 1997. "Correlations, trades and stock returns of the Pacific-Basin markets," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 559-577, December.
  • Handle: RePEc:eee:pacfin:v:5:y:1997:i:5:p:559-577
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    References listed on IDEAS

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    1. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    2. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    3. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    4. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    5. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
    6. Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. " The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 985-1007, July.
    7. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    8. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-554, June.
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    Cited by:

    1. Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015. "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 311-325.
    2. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
    3. Huseyin Tastan, 2005. "Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets," Working Papers 2005/10, Turkish Economic Association.
    4. Jing Liu & Geoffrey Loudon & George Milunovich, 2012. "Linkages between international REITs: the role of economic factors," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 30(5), pages 473-492, August.
    5. Gupta, Rakesh & Guidi, Francesco, 2012. "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 10-22.
    6. Hai Lin & Daniel Quill & Henk Berkman, 2016. "Information diffusion and the predictability of New Zealand stock market returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 749-785, September.
    7. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
    8. 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.
    9. Bowman, Robert G. & Chan, Kam Fong & Comer, Matthew R., 2010. "Diversification, rationality and the Asian economic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 1-23, January.
    10. Sei-Wan Kim & Moon Jung Choi, 2016. "Does Intra-Regional Trade Matter in Regional Stock Markets?: New Evidence from Asia-Pacific Region," Working Papers 2016-11, Economic Research Institute, Bank of Korea.
    11. Younes Boujelbène & Majdi Ksantini, 2009. "La transmission entre les marchés boursiers :Une analyse en composante principale," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 52(2), pages 161-194.
    12. Hooy Chee-Wooi & Robert D. Brooks, 2015. "The Components of Systematic Risk and Their Determinants in The Malaysian Equity Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, pages 151-176.
    13. Barari, Mahua, 2004. "Equity market integration in Latin America: A time-varying integration score analysis," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 649-668.
    14. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
    15. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 368-387, June.
    16. Pretorius, Elna, 2002. "Economic determinants of emerging stock market interdependence," Emerging Markets Review, Elsevier, vol. 3(1), pages 84-105, March.
    17. Luchtenberg, Kimberly F. & Vu, Quang Viet, 2015. "The 2008 financial crisis: Stock market contagion and its determinants," Research in International Business and Finance, Elsevier, pages 178-203.
    18. Chan, K. & Karolyi, G. A. & Rhee, S. G., 2002. "A retrospective evaluation of the Pacific-Basin Finance Journal: 1993-2002," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 497-516, November.
    19. Cho, Sungjun & Hyde, Stuart & Nguyen, Ngoc, 2015. "Time-varying regional and global integration and contagion: Evidence from style portfolios," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 109-131.
    20. Baele, Lieven & Pungulescu, Crina & Ter Horst, Jenke, 2007. "Model uncertainty, financial market integration and the home bias puzzle," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 606-630, June.
    21. Kim Hiang Liow & Xiaoxia Zhou & Qing Ye, 2015. "Correlation Dynamics and Determinants in International Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(3), pages 537-585, September.
    22. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, August.
    23. Bakri Abdul Karim & M. Shabri Abd. Majid, 2010. "Does trade matter for stock market integration?," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(1), pages 47-66, March.
    24. repec:fau:fauart:v:67:y:2017:i:3:p:250-275 is not listed on IDEAS

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