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A factor analysis of equity market relationships in Asia

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  • Tony Naughton

Abstract

The equity markets of the Asian region have become a focus of attention for academic researchers interested in identifying return relationships and potential diversification benefits for international investors. In this paper, equity-return relationships are investigated for selected Asian and developed country markets. The traditional equity return correlation matrix is extended to a factor analysis to identify relationships in terms of groupings. The results indicate the existence of a developed market group that includes Hong Kong, but excludes Japan. Other results include the identification of the Philippines and Taiwan as segmented markets and a grouping of Japan and Korea.

Suggested Citation

  • Tony Naughton, 1996. "A factor analysis of equity market relationships in Asia," Applied Economics Letters, Taylor & Francis Journals, vol. 3(11), pages 725-728.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:11:p:725-728
    DOI: 10.1080/135048596355754
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    References listed on IDEAS

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    1. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
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    Cited by:

    1. Mr. Thomas Kraus, 2001. "The Impact of the EMUon the Structure of European Equity Returns: An Empirical Analysis of the First 21 Months," IMF Working Papers 2001/084, International Monetary Fund.

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