Price Transmission and Market Openness A Comparative Analysis of Asian Stock Markets

Lifan Wu and Asani Sarkar
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Lifan Wu: Department of Finance and Law, California State University, 5151 State University Drive, Los Angeles, CA 90032, USA
Asani Sarkar: The Federal Reserve Bank of New York, Research Department, 33 Liberty Street, New York, NY 10045, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 1998, vol. 01, issue 02, 215-232

Abstract: This paper studies the degree of impact of stock prices listed on the New York Stock Exchange and Tokyo Stock Exchange regarding price behavior in Asian stock markets. Our evidence shows that the pattern and magnitude of impact varies. Returns in Hong Kong, Singapore, and Malaysia are more sensitive than those in Taiwan, Korea and Thailand. The response patterns in the Asian markets suggest that foreign influence is significantly correlated to the degree of market openness.

JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1142/S0219091598000168

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