The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets

Baekin Cha and Yan-leung Cheung

Asia-Pacific Financial Markets, 1998, vol. 5, issue 3, 209 pages

Abstract: Using a tri-variate vector autoregression model, we study the relationships between the four Asian emerging equity markets: Hong Kong, Korea, Singapore and Taiwan, and the two largest equity markets in the world: U.S. and Japan. We find that while most of the unexpected variations in stock returns in these Asian emerging markets is explained by domestic own shocks, the impacts from the U.S. and Japan are larger in Hong Kong and Singapore than in Korea and Taiwan. This foreign effect is pronounced after the Crash of the October 1987, especially in Singapore. Copyright Kluwer Academic Publishers 1998

Keywords: Asia-Pacific equity markets; Vector Autoregressive Model (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (8)

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DOI: 10.1023/A:1010038229774

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