TY - JOUR
T1 - The impact of the U.S. and the Japanese equity markets on the emerging Asia-Pacific equity markets
AU - Cha, Baekin
AU - Cheung, Stephen Y L
N1 - Copyright:
Copyright 2008 Elsevier B.V., All rights reserved.
PY - 1998
Y1 - 1998
N2 - Using a tri-variate vector autoregression model, we study the relationships between the four Asian emerging equity markets: Hong Kong, Korea, Singapore and Taiwan, and the two largest equity markets in the world: U.S. and Japan. We find that while most of the unexpected variations in stock returns in these Asian emerging markets is explained by domestic own shocks, the impacts from the U.S. and Japan are larger in Hong Kong and Singapore than in Korea and Taiwan. This foreign effect is pronounced after the Crash of the October 1987, especially in Singapore.
AB - Using a tri-variate vector autoregression model, we study the relationships between the four Asian emerging equity markets: Hong Kong, Korea, Singapore and Taiwan, and the two largest equity markets in the world: U.S. and Japan. We find that while most of the unexpected variations in stock returns in these Asian emerging markets is explained by domestic own shocks, the impacts from the U.S. and Japan are larger in Hong Kong and Singapore than in Korea and Taiwan. This foreign effect is pronounced after the Crash of the October 1987, especially in Singapore.
KW - Asia-Pacific equity markets
KW - Vector Autoregressive Model
UR - http://www.scopus.com/inward/record.url?scp=53149103248&partnerID=8YFLogxK
U2 - 10.1023/A:1010038229774
DO - 10.1023/A:1010038229774
M3 - Journal article
AN - SCOPUS:53149103248
SN - 1387-2834
VL - 5
SP - 191
EP - 209
JO - Asia-Pacific Financial Markets
JF - Asia-Pacific Financial Markets
IS - 3
ER -