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 [Working Paper] (Unpublished)


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.

Impact and interest:

Search Google Scholar™

Citation counts are sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

Full-text downloads:

184 since deposited on 11 Nov 2004
4 in the past twelve months

Full-text downloads displays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.

ID Code: 567
Item Type: Working Paper
Refereed: No
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 00:00
Last Modified: 02 Feb 2012 09:44

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page