Abstract
Using a tri-variate vector autoregression model, we study the relationships between the four Asian emerging equity markets: Hong Kong, Korea, Singapore and Taiwan, and the two largest equity markets in the world: U.S. and Japan. We find that while most of the unexpected variations in stock returns in these Asian emerging markets is explained by domestic own shocks, the impacts from the U.S. and Japan are larger in Hong Kong and Singapore than in Korea and Taiwan. This foreign effect is pronounced after the Crash of the October 1987, especially in Singapore.
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Cha, B., Cheung, Yl. The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets. Asia-Pacific Financial Markets 5, 191–209 (1998). https://doi.org/10.1023/A:1010038229774
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DOI: https://doi.org/10.1023/A:1010038229774