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Does the major market influence transfer? Alternative effect on Asian stock markets

Luke Lin and Wen-Yuan Lin ()
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Luke Lin: National Kaohsiung First University of Science and Technology
Wen-Yuan Lin: Beijing Normal University, Zhuhai

Review of Quantitative Finance and Accounting, 2018, vol. 50, issue 4, 1169-1200

Abstract: Abstract Based on the time-varying regression model of Chow et al. (J Comp Econ 39(4):577–583, 2011. doi: 10.1016/j.jce.2011.06.001 ), this paper simultaneously analyzes the ebb and flow of change by China and the U.S. as leading players in relation to their comovement on various Asian stock markets. We include several important controls for worldwide economy performance, the stock market return rates of major importing nations, and linear/non-linear time trend fixed effects to stress the influence of China and U.S. on eight Asian economies. The empirical results indicate the increasing influence of the China stock market during the subprime mortgage crisis. Moreover, the U.S. market remains influential on the Chinese region, but loses/decreases its influence, especially on the Four Asian Tigers, significantly during/after the subprime mortgage crisis.

Keywords: Time-varying regression; Comovement; Asian stock markets; Four Asian Tigers (search for similar items in EconPapers)
JEL-codes: F21 F60 (search for similar items in EconPapers)
Date: 2018
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