Abstract
Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Our results generally indicate that (1) the degree of interdependence among national stock markets has increased substantially after the 1987 stock market crash, (2) the U.S. market plays a dominant role of influencing the Pacific-Basin markets, (3) Japan and Singapore together have a significant persistent impact on the other Asian markets, and (4) the markets in Taiwan and Thailand are not efficient in processing international news.
Article PDF
Similar content being viewed by others
Avoid common mistakes on your manuscript.
References
Aqmon, Tamir. “The Relations Among Equity Markets: A Study of Share Price Co-Movement in the United States, United Kingdom, Germany and Japan”,Journal of Finance 27, no. 4 (June 1972): 839–855.
Arshanapalli, Bala, and John Doukas, “International Stock Market Linkages: Evidence from the Pre and Post October 1987 Period”,Journal of Banking and Finance 17, no. 1 (January 1993): 193–208.
Cheung, Yan-Leung, and Sui-Choi Mak. “The International Transmission of Stock Market Fluctuation Between the Developed Markets and the Asian-Pacific Markets”.Applied Financial Economic 2, no. 1 (March 1992): 43–47.
Cheung, Yin-Wong, and Lilian K. Ng. “Interactions Between the U.S. and Japan Stock Market Indices”.Journal of International Financial Markets, Institutions and Money 2, no. 2 (1992): 51–70.
Chung, Pin J., and Donald J. Liu. “Common Stochastic Trends in Pacific Rim Stock Markets”.Quarterly Review of Economics and Finance 34, no. 3 (Fall 1994): 241–259.
Eun, Cheol S., and Sangdal Shim. “International Transmission of Stock Market Movements”.Journal of Financial and Quantitative Analysis 24, no. 2 (June 1989): 241–256.
Finnerty, Joseph E., and Thomas Schneeweis. “The Co-movement of International Asset Returns”.Journal of International Business Studies 10, (1979): 66–78.
Granger, Clive W. J. “Investing Causal Relations by Econometric Models and Cross-Spectral Methods”.Econometrica 37 (July 1969): 424–438.
Hilliard, Jimmy E. “The Relationship Between Equity Indices on World Exchange”.Journal of Finance 34, no. 1 (March 1979): 103–114.
King, Mervyn A., and Sushil Wadhwani. “Transmission of Volatility Between Stock Markets”.Review of Financial Studies 3, no. 1 (Spring 1990): 5–33.
Ko, Kwang-Soo, and Sang-Bin Lee. “A Comparative Analysis of The Daily Behavior of Stock Returns: Japan, The US and The Asian NICs”.Journal of Business Finance & Accounting 18, no. 2 (January 1991): 219–234.
Lessard, Donald A. “International Diversification”.Financial Analyst Journal 32, no. 1 (January/February 1976): 32–38.
Malliaris, A. G., and Jorge L. Urrutia, “The International Crash of October 1987: Causality Tests”.Journal of Financial and Quantitative Analysis 27, no. 3 (September 1992): 353–363.
Panton, Don B., V. Parker Lessig, and O. Maurice Joy. “Comovements of International Equity Markets: A Taxonomic Approach”.Journal of Financial and Quantitative Analysis 11, no. 3 (September 1976): 415–432.
Park, Jinwoo, and Ali M. Fatemi. “The Linkages Between the Equity Markets of Pacific-Basin Countries and Those of the U.S., U.K., and Japan: A Vector Autoregression Analysis”,Global Finance Journal 4, no. 1 (1993): 49–64.
Rhee, S. Ghon, and Rosita P. Chang, “The Microstructure of Asia Equity Markets”.Journal of Financial Services Research 6, no. 4 (January 1993): 437–454.
Ripley, Duncan M. “Systematic Elements in the Linkage of National Stock Market Indices”.Review of Economics and Statistics 55, no. 3 (August 1973): 356–361.
Roll, Richard. “The International Crash of October 1987”.Financial Analysts Journal 44, no. 5 (September/October 1988): 19–35.
Schollhammer, Hans, and Ole Sand. “The Interdependence Among the Stock Markets of Major European Countries and the United States: An Empirical Investigation of Interrelationships Among National Stock Price Movements”.Management International Review 25, no. 1 (1st Quarter 1985): 17–26.
Sims, Christopher A. “Macroeconomics and Reality”.Econometrica 48, no. 1 (January 1980): 1–48.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Liu, Y.A., Pan, MS. & Shieh, J.C.P. International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets. J Econ Finan 22, 59–69 (1998). https://doi.org/10.1007/BF02823233
Issue Date:
DOI: https://doi.org/10.1007/BF02823233