STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US

Giorgio Busetti and Matteo Manera ()
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Giorgio Busetti: Quantitative Methods, Monte Paschi Alternative Investment, Milano, Italy

No 2003.43, Working Papers from Fondazione Eni Enrico Mattei

Abstract: We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlation-cointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR-GARCH models for the series of stock market daily returns, using Nikkei225 and S&P500 as alternative threshold variables. We provide evidence for the leading role of Japan in the period 1988-1990 (pre-Japanese crisis years), whereas our results suggest that the Pacific Basin region countries are more closely linked with the US during the period 1995-1999 (post- Japanese crisis years).

Keywords: STAR-GARCH models; stock market integration; Pacific-Basin capital markets; outliers (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 F36 (search for similar items in EconPapers)
Date: 2003-04
New Economics Papers: this item is included in nep-ets and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2003.43

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