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  • Market Interdependence In The Pacific Basin Region: Internal Drives and External Influences

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    Author(s)
    F. Darrat, Ali
    Colthup, Grant
    Li, Bin
    Zhong, Maosen
    Griffith University Author(s)
    Li, Bin
    Year published
    2012
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    Abstract
    This paper examines equity market linkages in the Pacific Basin (PB) region and their relations to other mature markets and also assesses the response of these markets to major global events. Results from weekly data for market pairs and for the region as a whole consistently suggest that markets in the PB region are internally interdependent and exhibit significant external relations mainly with the US (rather than Japan). The presence of potent market linkages seems inconsistent with market efficiency provided that implied trading rules yield risk-adjusted excess returns. However, the results further indicate that PB market ...
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    This paper examines equity market linkages in the Pacific Basin (PB) region and their relations to other mature markets and also assesses the response of these markets to major global events. Results from weekly data for market pairs and for the region as a whole consistently suggest that markets in the PB region are internally interdependent and exhibit significant external relations mainly with the US (rather than Japan). The presence of potent market linkages seems inconsistent with market efficiency provided that implied trading rules yield risk-adjusted excess returns. However, the results further indicate that PB market linkages, both internally within the region and externally with the US, have endured considerable weaknesses particularly since the September 11, 2001 terrorist attack. Such recent weakening of equity market linkages may have strengthened diversification benefits available to US investors from investing in the PB region. We also obtain evidence indicating that three main factors significantly explain the differing degrees of market linkages across countries in the PB region; namely, exchange-rate volatility, equity market volatility and money-market interlink.
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    Journal Title
    Journal of Applied Business Research
    Volume
    28
    Issue
    4
    Publisher URI
    http://journals.cluteonline.com/index.php/JABR/article/view/7045
    Copyright Statement
    © 2012 The Clute Institute. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Finance
    Business and Management
    Publication URI
    http://hdl.handle.net/10072/47302
    Collection
    • Journal articles

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