IDEAS home Printed from https://ideas.repec.org/a/lif/jrgelg/v2y2013p278-290.html
   My bibliography  Save this article

Dynamic Linkages among Foreign Exchange, Stock, and Commodity Markets in Northeast Asian Countries: Effects from Two Recent Crises

Author

Listed:
  • Lu Yang
  • Shigeyuki Hamori

    () (Kobe University)

Abstract

This paper investigates the interaction among the foreign exchange, stock, and commodity markets of Northeast Asian countries according to the cross-correlation function (CCF) approach. We analyze the impact of the global financial crisis and the European sovereign crisis on the financial market interactions of Japan, South Korea, and Taiwan. The empirical results show that financial markets in different countries show different causality relationships. While interactions in both mean and variance are relatively strong in Japanese financial markets, they are relatively weak in Korean markets. We cannot find any financial market interactions in Taiwan

Suggested Citation

  • Lu Yang & Shigeyuki Hamori, 2013. "Dynamic Linkages among Foreign Exchange, Stock, and Commodity Markets in Northeast Asian Countries: Effects from Two Recent Crises," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 278-290.
  • Handle: RePEc:lif:jrgelg:v:2:y:2013:p:278-290
    as

    Download full text from publisher

    File URL: http://www.lifescienceglobal.com/home/cart?view=product&id=682
    Download Restriction: no

    More about this item

    Keywords

    Financial market; Financial contagion; Hong test; Northeast Asian countries;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

    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:lif:jrgelg:v:2:y:2013:p:278-290. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Faisal Ameer Khan). General contact details of provider: http://www.lifescienceglobal.com .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.