Comovements in Asia-Pacific Equity Markets: Developing Patterns in APEC
File version
Author(s)
Higgs, Helen
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Date
Size
File type(s)
Location
License
Abstract
This paper examines the short and long-term price linkages among Asia-Pacific Economic Cooperation (APEC) equity markets over the period 1995 to 2000. Seven developed markets (Australia, Canada, Hong Kong, Japan, New Zealand, Singapore and the United States) and eleven emerging markets (China, Chile, Indonesia, Korea, Malaysia, Mexico, Peru, the Philippines, Russia, Taiwan and Thailand) are included in the analysis. Multivariate cointegration procedures, Granger-causality tests, level VAR and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to examine long and short-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant short-run causal linkages among the APEC equity markets. The results also indicate that the degree of comovement and codependencies among APEC's domestic and sub-regional markets varies considerably. In general, Australasian, Northern Asian and South American markets are relatively more influenced by domestic market conditions, North American markets relatively more by regional factors and Southern Asian markets more strongly influenced by markets outside either their own or geographical close domestic markets.
Journal Title
Asia Pacific Journal of Economics & Business
Conference Title
Book Title
Edition
Volume
8
Issue
1
Thesis Type
Degree Program
School
Publisher link
DOI
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement
Item Access Status
Note
Access the data
Related item(s)
Subject
Economics
Commerce, Management, Tourism and Services