Pacific Rim Stock Market Integration Under Different Federal Funds Rate Regimes

Daniel W.W. Cheung

Journal of Business Finance & Accounting, 1997, vol. 24, issue 9‐10, 1343-1351

Abstract: This study uses Sims‐type vector autoregression technique to examine the stock markets integration among the US and four major Asian‐Pacific stock exchanges during 1993 and 1994. The two different sample periods capture the change in US monetary policy in 1994. Empirical results show that when the US was targeting the federal funds rate in 1994, the variations in US stock returns much better explain the variations of stock returns in Hong Kong, Singapore and Australia.

Date: 1997
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