International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets

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.

[1]  Cheol S. Eun,et al.  International Transmission of Stock Market Movements , 1989, Journal of Financial and Quantitative Analysis.

[2]  Richard Roll,et al.  The International Crash of October 1987 , 1988 .

[3]  C. Sims.  MACROECONOMICS AND REALITY , 1977 .

[4]  Duncan M Ripley,et al.  Systematic Elements in the Linkage of National Stock Market Indices , 1973 .

[5]  Jimmy E. Hilliard,et al.  The Relationship Between Equity Indices on World Exchanges , 1979 .

[6]  Donald R. Lessard,et al.  World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification , 1975 .

[7]  C. Granger.  Investigating Causal Relations by Econometric Models and Cross-Spectral Methods , 1969 .

[8]  Sang Bin Lee,et al.  A Comparative Analysis of the Daily Behavior of Stock Returns: Japan, the Us and the Asian Nics , 1991 .

[9]  S. Ghon Rhee,et al.  The microstructure of Asian equity markets , 1993 .

[10]  O. Maurice Joy,et al.  Comovement of International Equity Markets: A Taxonomic Approach , 1976, Journal of Financial and Quantitative Analysis.

[11]  J Madura,et al.  Development And Evaluation Of International Financing Models , 1985 .

[12]  Bala Arshanapalli,et al.  International stock market linkages: Evidence from the pre- and post-October 1987 period , 1993 .

[13]  T. Agmon,et al.  THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN , 1972 .

[14]  M. King,et al.  Transmission of Volatility between Stock Markets , 1989 .

[15]  Yan-Leung Cheung,et al.  The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets , 1992 .

[16]  The Comovement of International Asset Returns , 1979 .

[17]  Common stochastic trends in pacific rim stock markets , 1994 .

[18]  A. Malliaris,et al.  The International Crash of October 1987: Causality Tests , 1992, Journal of Financial and Quantitative Analysis.

[19]  Jinwoo Park,et al.  The linkages between the equity markets of pacific-basin countries and those of the U.S., U.K., and Japan: A vector autoregression analysis , 1993 .