Journal of Economics and Finance

, Volume 22, Issue 1, pp 59–69 | Cite as

International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets

  • Y. Angela Liu
  • Ming-Shiun Pan
  • Joseph C. P. Shieh


Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Our results generally indicate that (1) the degree of interdependence among national stock markets has increased substantially after the 1987 stock market crash, (2) the U.S. market plays a dominant role of influencing the Pacific-Basin markets, (3) Japan and Singapore together have a significant persistent impact on the other Asian markets, and (4) the markets in Taiwan and Thailand are not efficient in processing international news.


Stock Market Stock Return Granger Causality Equity Market Hong Kong 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer 1998

Authors and Affiliations

  • Y. Angela Liu
    • 1
  • Ming-Shiun Pan
    • 2
  • Joseph C. P. Shieh
    • 3
  1. 1.Department of FinanceNational Chung Cheng UniversityChia-YiTaiwan, R.O.C.
  2. 2.Department of FinanceShippensburg UniversityShippensburg
  3. 3.Department of FinanceNational Chengchi UniversityTaipeiTaiwan, R.O.C.

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