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Empirical Analysis of Interdependency and Volatility among Asian Stock Markets

Author

Listed:
  • Thomas C. Chiang

    (Marshall M. Austin, Drexel University, USA)

  • Christine X. Jiang

    (Kent State University, USA)

Abstract

This paper presents an integrated time series model to analyze the interdependence and volatility among five major Asian stock markets, including Taiwan, Hong Kong, Korea, Singapore, and Japan. The model accounts for autoregression, cross correlation, error correction term, and GARCH effect. The evidence indicates that these five Asian stock markets follow at least one common stochastic trend. The stock returns for four of these Asian markets are contemporaneously correlated with those of Japan, while their correlations with the US stock returns take a one-day lag. Our evidence also shows some dynamic adjustment involving an error correcting process. Finally, the GARCH effect is present in all of the variance equations although we fail to find the GARCH-in-mean supported by the data.

Suggested Citation

  • Thomas C. Chiang & Christine X. Jiang, 1998. "Empirical Analysis of Interdependency and Volatility among Asian Stock Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 437-459.
    • Handle: RePEc:wsi:rpbfmp:v:01:y:1998:i:04:n:s0219091598000260
    DOI: 10.1142/S0219091598000260
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    Cited by:

    1. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.

    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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