How Do the Asian and the Asia-Pacific Equity Markets Covariate? The Linkage with Japan

Chikashi Tsuji ()
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Chikashi Tsuji: University of Tsukuba

International Journal of Academic Research in Accounting, Finance and Management Sciences, 2012, vol. 2, issue 2, 32-37

Abstract: The objective of this paper is to reveal the situations of time-series changes of the covariations of stock returns between the Japanese markets and other Asian and Asia-pacific markets. In this paper, we first statistically revealed that the connections between stock returns between the Japanese markets and other Asian and Asia-pacific markets recently gradually increased. Second, our empirical examinations also clarified that right after the Lehman Shock in the US, the covariations between stock returns in Japan and other Asian and Asia-pacific markets generally increased.

Keywords: Asia-Pacific stock markets; Stock return comovements; Welch’s test (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hur:ijaraf:v:2:y:2012:i:2:p:32-37

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