Common stochastic trends and volatility in Asian-Pacific equity markets

This paper uses Johansen's cointegration test and a modified cointegration test with generalized autoregressive conditional heteroskedasticity (GARCH) effects to examine linkages between the U.S. and five Asian-Pacific stock markets (Australia, Hong Kong, Japan, Malaysia, and Singapore) during...

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Bibliographic Details
Published in:Global finance journal 1999, Vol.10 (2), p.161-172
Main Authors: Pan, Ming-Shiun, Liu, Y.Angela, Roth, Herbert J.
Format: Article
Language:English
Subjects:
Asian pacific equity markets
Cointegration
Cointegration analysis
GARCH
Securities markets
Stochastic models
Stock exchanges
Stock prices
Studies
Time-varying volatility
Volatility
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Summary:This paper uses Johansen's cointegration test and a modified cointegration test with generalized autoregressive conditional heteroskedasticity (GARCH) effects to examine linkages between the U.S. and five Asian-Pacific stock markets (Australia, Hong Kong, Japan, Malaysia, and Singapore) during the period from 1988 to 1994. The modified cointegration test with GARCH effects is used to assess whether these stock price series share common time-varying volatility. The results indicate that the six stock markets are highly integrated through the second moments of stock returns but not the first moments.
ISSN:1044-0283
1873-5665
DOI:10.1016/S1044-0283(99)00012-5