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An Empirical Analysis of Stock Prices in Major Asian Markets and the United States

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Cited by:

  1. Herwany, Aldrin & Febrian, Erie, 2008. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," MPRA Paper 10259, University Library of Munich, Germany.
  2. Sowmya Dhanaraj & Arun Kumar Gopalaswamy & Suresh Babu M, 2013. "Dynamic interdependence between US and Asian markets: an empirical study," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 5(2), pages 220-237, April.
  3. Chuang, I-Yuan & Lu, Jin-Ray & Tswei, Keshin, 2007. "Interdependence of international equity variances: Evidence from East Asian markets," Emerging Markets Review, Elsevier, vol. 8(4), pages 311-327, December.
  4. Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Appropriate lag specification for daily responses of international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1017-1025.
  5. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
  6. Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
  7. Janet Jyothi Dsouza & T. Mallikarjunappa, 2015. "Does the Indian Stock Market Exhibit Random Walk?," Paradigm, , vol. 19(1), pages 1-20, June.
  8. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
  9. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
  10. Selover, David D., 2004. "International co-movements and business cycle transmission between Korea and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 57-83, March.
  11. Jokung N., Octave, 1998. "Timing of investments in emerging markets: the case of Malaysia and Singapore," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 199-210, September.
  12. Narayan, Seema & Narayan, Paresh Kumar, 2012. "Do US macroeconomic conditions affect Asian stock markets?," Journal of Asian Economics, Elsevier, vol. 23(6), pages 669-679.
  13. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration," Data, MDPI, vol. 2(4), pages 1-28, December.
  14. Angelovska, Julijana, 2018. "Testing Weak Form Of Stock Market Efficiency At The Macedonian Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(2), pages 133-144.
  15. Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014. "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-138, March.
  16. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
  17. Moyes, Glen D. & Park, Kyungjoo & Wang, Andrew Minglong & Williams, Patricia A., 1997. "Factors affecting an analyst forecast revision-- Taiwan and the United States: A comparison," The International Journal of Accounting, Elsevier, vol. 32(1), pages 63-77.
  18. Robert-Jan Gerrits & Ayse Yuce, 1999. "Short- and long-term links among European and US stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 1-9.
  19. A.S.M. Sohel Azad, 2009. "Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China, Japan and South Korea," Asian Economic Journal, East Asian Economic Association, vol. 23(1), pages 93-118, March.
  20. Anders C Johansson & Christer Ljungwall, 2006. "Spillover Effects among the Greater China Region Stock Markets," Microeconomics Working Papers 22046, East Asian Bureau of Economic Research.
  21. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
  22. Timothy J. Brailsford, 1996. "Volatility Spillovers Across the Tasman," Australian Journal of Management, Australian School of Business, vol. 21(1), pages 13-27, June.
  23. Hee Seong Kim & Sang-Bum Park, 2006. "The Dynamic Relationship between Main Investors' Net Long Position and the Trading Volume of KTB Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 217-233, December.
  24. Chee Wooi Hooy, 2008. "Does trade regionalism increase stock market segmentation within a trading bloc?," International Economic Journal, Taylor & Francis Journals, vol. 22(1), pages 113-126.
  25. Sarwar, Ghulam, 1997. "Efficiency of black markets in foreign currencies in Southeast Asia," Journal of Multinational Financial Management, Elsevier, vol. 7(4), pages 333-344, December.
  26. Ahmed, Walid M.A., 2008. "Cointegration and dynamic linkages of international stock markets: an emerging market perspective," MPRA Paper 26986, University Library of Munich, Germany.
  27. Canegrati, Emanuele, 2008. "In Search of Market Index Leaders: Evidence from World Financial Markets," MPRA Paper 11292, University Library of Munich, Germany.
  28. Parul Bhatia & Hemalatha Ramasubramanian, 2019. "Co-integration Between Sensex and Other Popular Indices: A Decadal Study," FIIB Business Review, , vol. 8(2), pages 108-117, June.
  29. Andy Wui-Wing Cheng & Nikolai Sheung-Chi Chow & David Kam-Hung Chui & Wing-Keung Wong, 2019. "The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
  30. Kasman Adnan & Vardar Gülin & Okan Berna & Aksoy Gökçe, 2009. "The Turkish Stock Market Integration with Developed and Emerging Countries' Stock Markets: Evidence from Cointegration Tests with and without Regime Shifts," Review of Middle East Economics and Finance, De Gruyter, vol. 5(1), pages 24-49, May.
  31. repec:ebl:ecbull:v:6:y:2008:i:16:p:1-7 is not listed on IDEAS
  32. Hu, Ou, 2006. "Common and country-specific components in national stock prices," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 509-519, December.
  33. Long, Wen & Guo, Ying & Wang, Ying, 2021. "Information spillover features in global financial markets: A systematic analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
  34. Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi, 2012. "How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 349-362.
  35. Yang, Jian & Kolari, James W. & Sutanto, Peter Wibawa, 2004. "On the stability of long-run relationships between emerging and US stock markets," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 233-248, July.
  36. Kui Fan & Zudi Lu & Shouyang Wang, 2009. "Dynamic Linkages Between the China and International Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(3), pages 211-230, September.
  37. Chang, Tsangyao & Caudill, Steven B., 2006. "A note on the long-run benefits from international equity diversification for a Taiwan investor diversifying in the US equity market," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 57-67.
  38. Azahar, Nurshuhaida & Masih, Mansur, 2018. "The effect of sub-prime crisis on select southeast Asian stock markets," MPRA Paper 108032, University Library of Munich, Germany.
  39. Robert Kleiman & James Payne & Anandi Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, Taylor & Francis Journals, vol. 24(3), pages 279-298, January.
  40. Aristeidis G. Samitas, 2004. "Interrelationships of Secondary Equity Markets at Domestic and International Level," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 87-98.
  41. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
  42. Fazal Husain & Reza Saidi, 2000. "The integration of the Pakistani equity market with international equity markets: an investigation," Journal of International Development, John Wiley & Sons, Ltd., vol. 12(2), pages 207-218.
  43. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
  44. Yochanan Shachmurove, "undated". "Portfolio Analysis of Latin American Stock Markets," Penn CARESS Working Papers 33820afad90814b2158b0366c, Penn Economics Department.
  45. Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High‐Frequency Data," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 175-201, June.
  46. Horobet, Alexandra & Lupu, Radu, 2009. "Are Capital Markets Integrated? A Test of Information Transmission within the European Union," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 64-80, June.
  47. Usman M. Umer, Metin Coskun, Kasim Kiraci, 2018. "Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(1), pages 23-42, March.
  48. Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.
  49. Canegrati, Emanuele, 2008. "In Search of Market Index Leaders: Evidence from Asian Markets," MPRA Paper 11246, University Library of Munich, Germany.
  50. Tsangyao Chang & Yang-Cheng Lu, 2006. "Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-7.
  51. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
  52. Subhash C. Sharma & Praphan Wongbangpo, 2002. "Long‐term trends and cycles in ASEAN stock markets," Review of Financial Economics, John Wiley & Sons, vol. 11(4), pages 299-315.
  53. Christofi, A. & Pericli, A., 1999. "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 79-93, January.
  54. Subrata Roy, 2018. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis," Foreign Trade Review, , vol. 53(4), pages 225-238, November.
  55. Angelos Kanas, 1998. "Linkages between the US and European equity markets: further evidence from cointegration tests," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 607-614.
  56. Maria-Eleni K. Agoraki & Dimitris A. Georgoutsos & Georgios P. Kouretas, 2019. "Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices," JRFM, MDPI, vol. 12(4), pages 1-20, December.
  57. Saifuzzaman Ibrahim, 2011. "The Progress of Financial Market Integration in East Asia," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 458-470, December.
  58. Hui, Tak-Kee, 2005. "Day-of-the-week effects in US and Asia-Pacific stock markets during the Asian financial crisis: a non-parametric approach," Omega, Elsevier, vol. 33(3), pages 277-282, June.
  59. Kim Hiang Liow & Yuting Huang & Kai Li Heng, 2019. "Relationship between Foreign Macroeconomic Conditions and Asian-Pacific Public Real Estate Markets: The Relative Influence of the US and China," IJFS, MDPI, vol. 7(4), pages 1-28, October.
  60. Jian Yang & David J. Leatham, 1998. "Market efficiency of US grain markets: Application of cointegration tests," Agribusiness, John Wiley & Sons, Ltd., vol. 14(2), pages 107-112.
  61. Maneschiold Per-Ola, 2005. "International Diversification Benefits between US, Turkish and Egyptian Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 25-43, August.
  62. Febrian, Erie & Herwany, Aldrin, 2007. "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper 9632, University Library of Munich, Germany.
  63. Johansson, Anders C. & Ljungwall, Christer, 2009. "Spillover Effects Among the Greater China Stock Markets," World Development, Elsevier, vol. 37(4), pages 839-851, April.
  64. Yochanan Shachmurove, 2001. "Dynamic Co-movements of Stock Indices: The Emerging Middle Eastern and the United States Markets," Penn CARESS Working Papers ddffc4204cf90a8523fb64134, Penn Economics Department.
  65. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2005. "Estimation of the common and country-specific shock to stock prices," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 322-337, September.
  66. Tsangyao Chang, 2001. "Are there any long-run benefits from international equity diversification for Taiwan investors diversifying in the equity markets of its major trading partners, Hong Kong, Japan, South Korea, Thailand," Applied Economics Letters, Taylor & Francis Journals, vol. 8(7), pages 441-446.
  67. Kenjiro Hirayama & Yoshiro Tsutsui, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data," Discussion Papers in Economics and Business 03-04, Osaka University, Graduate School of Economics.
  68. Alam, Md. Mahmudul & Uddin, Gazi Salah, 2019. "The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange," OSF Preprints r3jpx, Center for Open Science.
  69. Dimitriou, Dimitrios & Kenourgios, Dimitris, 2012. "Opportunities for international portfolio diversification in the balkans’ markets," MPRA Paper 37479, University Library of Munich, Germany.
  70. Xiao‐Ming Li, 2006. "A Revisit Of International Stock Market Linkages: New Evidence From Rank Tests For Nonlinear Cointegration," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(2), pages 174-197, May.
  71. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2004. "Are international portfolio adjustments a cause of comovements in stock prices?," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 463-478, September.
  72. Yochanan Shachmurove, "undated". ""Dynamic Daily Returns Among Latin Americans and Other Major World Stock Markets''," CARESS Working Papres 96-03, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  73. Sharma, Subhash C. & Wongbangpo, Praphan, 2002. "Long-term trends and cycles in ASEAN stock markets," Review of Financial Economics, Elsevier, vol. 11(4), pages 299-315.
  74. Johansson, Anders C., 2008. "Interdependencies among Asian bond markets," Journal of Asian Economics, Elsevier, vol. 19(2), pages 101-116, April.
  75. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
  76. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber, 2011. "Are the Major South Asian Equity Markets Co-Integrated?," MPRA Paper 34737, University Library of Munich, Germany, revised 2011.
  77. Alexandra Horobet & Sorin Dumitrescu, 2011. "Time-varying Diversification Benefits: The Impact of Capital Market Integration on European Portfolio Holdings," Chapters, in: Wim Meeusen (ed.), The Economic Crisis and European Integration, chapter 13, Edward Elgar Publishing.
  78. Krishna M. Kasibhatla & David Stewart & Swapan Sen & John Malindretos, 2006. "Are Daily Stock Price Indices in the Major European Equity Markets Cointegrated? Tests and Evidence," The American Economist, Sage Publications, vol. 50(2), pages 47-57, October.
  79. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, vol. 9(2), pages 181-204.
  80. Zhang, Jing Hua & Tam, Kwo Ping & Zhou, Nan, 2016. "Do smoking bans always hurt the gaming industry? Differentiated impacts on the market value of casino firms in Macao (China)," Economics Discussion Papers 2016-21, Kiel Institute for the World Economy (IfW Kiel).
  81. Hadhri, Sinda, 2023. "News-based economic policy uncertainty and financial contagion: An international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 63-76.
  82. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
  83. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
  84. Somar Almohamad & Anil V. Mishra & Xiao Yu, 2018. "Mena Stock Markets Integration: Pre and Post Global Financial Crisis," Australian Economic Papers, Wiley Blackwell, vol. 57(2), pages 107-141, June.
  85. Saif Siddiqui, 2009. "Stock Markets Integration: Examining Linkages between Selected World Markets," Vision, , vol. 13(1), pages 19-30, January.
  86. Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 1-13.
  87. Vasileiou Evangelos, 2017. "Why do we examine calendar anomalies only in financial markets? Month effect evidence from the Greek banking industry," Operational Research, Springer, vol. 17(1), pages 99-114, April.
  88. Manning, Neil, 2002. "Common trends and convergence? South East Asian equity markets, 1988-1999," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 183-202, April.
  89. Lee, Hyunchul & Cho, Seung Mo, 2017. "What drives dynamic comovements of stock markets in the Pacific Basin region?: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 314-327.
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  92. Julijana Angelovska, 2017. "Integration of Macedonian, Bulgarian and Croatian Stock Markets – VECM Approach," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 65-79.
  93. Zhang, Jing Hua & Tam, Kwo Ping & Zhou, Nan, 2016. "Do smoking bans always hurt the gaming industry? Differentiated impacts on the market value of casino firms in Macao," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-32.
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