Who Moved Asian-Pacific Stock Markets? A Further Consideration Of The Impact of the US and Japan

Robert B. Durand, Koh Sze Kee and Iain Watson
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Robert B. Durand: Department of Accounting and Finance, University of Western Australia, 35 Stirling Highway, Crawley WA 6009.
Koh Sze Kee: Department of Accounting and Finance, University of Western Australia, 35 Stirling Highway, Crawley WA 6009.
Iain Watson: Department of Accounting and Finance, University of Western Australia, 35 Stirling Highway, Crawley WA 6009.

Australian Journal of Management, 2001, vol. 26, issue 2, 125-145

Abstract: This paper extends prior research by jointly incorporating market indices, interest rates (both short- and long-term) and spot cross exchange rates, to investigate the relationship among seven Pacific-Rim (Australia, Hong Kong, South Korea, Malaysia, Singapore, Taiwan and Thailand) markets, to changes in financial variables in the US and Japan, We find that the US stock market Granger-caused movements in all the markets being considered and that the Japanese stock market had a significant effect in half of the markets included in the study. Other financial variables play no, or little, part in influencing the markets being studied.

Keywords: INTERNATIONAL FINANCIAL MARKETS; GRANGER CAUSALITY (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:26:y:2001:i:2:p:125-145

DOI: 10.1177/031289620102600203

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