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Short and Long-Term Price Linkages Among Asia-Pacific Economic Cooperation (APEC) Equity Markets, Discussion Paper No. 100

Worthington, Andrew C. & Higgs, Helen (2002) Short and Long-Term Price Linkages Among Asia-Pacific Economic Cooperation (APEC) Equity Markets, Discussion Paper No. 100. [Working Paper] (Unpublished)

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.

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ID Code: 567
Item Type: Working Paper
Additional URLs:
Keywords: Cointegration, regional equity markets, APEC
ISSN: 1324-5910
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2002 (Please consult author)
Deposited On: 11 Nov 2004
Last Modified: 02 Feb 2012 19:44

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