IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Dynamic causal linkages between the US stock market and the stock markets of the East Asian economies

Listed author(s):
  • Kim, Hyunjoo

    (Jönköping International Business School (JIBS))

Registered author(s):

    This paper presents an empirical study in the dynamic causal relationships between each of national stock market of the East Asian economies (Hong Kong, Singapore, Korea (Rep. of), and Taiwan) and the U.S. stock market. This paper complements the existing studies by analyzing the dynamic causal relationship between the U.S. stock market and the East Asian stock markets at different time scales by employing wavelet analysis. Analyses of pre-crisis, East Asian financial crisis (year 1997-2000), inter-crisis and the subprime mortgage crisis (year 2007-2009) periods are conducted to compare the international transmission mechanism of stock market movements. The main empirical insight is that the causal relationship is stronger at finer time scales, whereas the relationship is less and less apparent at longer time horizons. The empirical evidence of the current study indicates that the U.S. stock market Granger-causes almost all the East Asian stock markets regardless of non-crisis periods or not, yet it applies only to the later two sub-sample periods. In general, the empirical results show that short-run causal linkages of the U.S. market to the East Asian economies are more dominant than the causal linkages of the other direction. The results also show that those stock markets are more integrated after the East Asian financial crisis period. Innovations in the U.S. market are transmitted to the stock markets of the East Asian economies in a similar fashion, whereas the degree of responsiveness of those East Asian stock markets differs between the inter-crisis period and the subprime mortgage crisis.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies in its series Working Paper Series in Economics and Institutions of Innovation with number 236.

    in new window

    Length: 23 pages
    Date of creation: 27 Oct 2010
    Handle: RePEc:hhs:cesisp:0236
    Contact details of provider: Postal:
    CESIS - Centre of Excellence for Science and Innovation Studies, Royal Institute of Technology, SE-100 44 Stockholm, Sweden

    Phone: +46 8 790 95 63
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:hhs:cesisp:0236. 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: (Vardan Hovsepyan)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.