Comovements in Asia-Pacific Equity Markets: Developing Patterns in APEC
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.
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|Item Type:||Journal Article|
|Keywords:||Cointegration, regional equity markets, APEC|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2004 Curtin University|
|Copyright Statement:||Reproduced in accordance with the copyright policy of the publisher.|
|Deposited On:||31 Oct 2005|
|Last Modified:||05 Jan 2011 13:25|
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