An empirical examination of linkages between Pacific-Basin stock markets

This paper examines the linkages between the stock markets in the Pacific-Basin region during 1988–96 using a vector autoregression model. Our results show that during 1988–96 the US market influences all other Australasian markets, except Indonesia, and none of these markets exert a significant inf...

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Bibliographic Details
Published in:Journal of international financial markets, institutions & money institutions & money, 1998-06, Vol.8 (2), p.155-173
Main Authors: Janakiramanan, Sundaram, Lamba, Asjeet S.
Format: Article
Language:English
Subjects:
Asia Pacific Region
International capital market
Market linkages
Pacific-Basin markets
Stock exchange
Vector autoregression
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Summary:This paper examines the linkages between the stock markets in the Pacific-Basin region during 1988–96 using a vector autoregression model. Our results show that during 1988–96 the US market influences all other Australasian markets, except Indonesia, and none of these markets exert a significant influence on the US market. An analysis excluding the US market reveals persistent linkages between these markets which are traced to the indirect influences of the US market. Finally, markets that are geographically and economically close and/or with large numbers of cross-border listings exert significant influence over each other, with markets closing earlier in the day exerting greater influence over markets closing later in the day.
ISSN:1042-4431
1873-0612
DOI:10.1016/S1042-4431(98)00029-8