Linkages between the U.S. and Asia-Pacific Exchange Traded Funds (ETF) Markets: Evidence from the 2007-2008 Global Financial Crisis

Bum Suk Kim ()
Additional contact information
Bum Suk Kim: School of Global Business, Far East University, Wangjang, Kamgok, Eumsung, Chungbuk, South Korea 369-700

Asian Academy of Management Journal of Accounting and Finance (AAMJAF), 2011, vol. 7, issue 1, 53-72

Abstract: This paper examines co-integration and spillover effects between U.S. and Asia-Pacific stock markets using nine Exchange Traded Funds (ETFs) over the period from 7 January 2004 to 30 September 2010, with sub-samples of before and after the 2007–2008 global financial crisis. The nine ETFs include: SPDR, TOPIX, KODEX200 (KODEX), Tracker Fund of Hong Kong (TraHK), Polaris Taiwan Top 50 Tracker Fund (TT), SPDR S&P/ASX 200 Fund (STW), StreetTRACKS Straits Times Index Fund (STI), SmartFONZ (FNZ), and China 50 ETF. The co-integration analysis shows that there is a co-integration relationship between SPDR and TraHK, STW, STI, and FNZ before and after the global financial crisis. However, TOPIX shows little co-integration relationship with SPDR. In the case of KODEX and TT, no co-integration relationship is found before the crisis; however, it is found after the crisis. Before the crisis, SPDR co-integrated with China 50, but after the crisis the co-integration relationship weakened. The Granger causality tests indicate that, although U.S. stock markets lead Asia-Pacific stock markets, Asia-Pacific stock markets do not exert the same influence. GARCH tests show that there are significant spillover effects between the U.S. and Asia-Pacific stock markets. This paper confirms the fact that, since the 2007–2008 global financial crisis, the degree of co-integration and spillover effects has generally grown stronger.

Keywords: Exchange traded funds; global financial crisis; co-integration; Granger causality tests; spillover effects (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://web.usm.my/journal/aamjaf/vol7-1-2011/7-1-3.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:usm:journl:aamjaf00701_53-72

Access Statistics for this article

More articles in Asian Academy of Management Journal of Accounting and Finance (AAMJAF) from Penerbit Universiti Sains Malaysia Contact information at EDIRC.
Bibliographic data for series maintained by Journal Division, Penerbit Universiti Sains Malaysia ().