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

Abstract

This study uses unit root and cointegration tests to examine the relationships among the stock markets in Hong Kong, South Korea, Singapore, Taiwan, Japan, and the United States. All the stock prices are analyzed both individually and collectively to test for international market efficiency. Unit roots in stock prices are found. Pairwise and higher‐order cointegration tests indicate that there is no evidence of cointegration among the stock prices. The findings suggest that the stock prices in major Asian markets and the United States are weak‐form efficient individually and collectively in the long run. It also implies that international diversification among the markets is effective.

Correlation Dynamics between Asia-Pacific, EU and US Stock Returns

“…A number of studies have investigated the existence of a long run equilibrium relationship between Asia-Pacific stock markets and between these markets and developed markets (see, inter alia, Chan, Gup and Pan, 1992;Garrett and Spyrou, 1999;Maish and Maish, 1999;Ghosh, Saidi and Johnson, 1999;Darrat and Zhong, 2002). However, recently studies have investigated the stability of this long run relationship.…”

Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

“…The transmission of shocks from UK market impacts the return of India, Indonesia, Brazil and Turkey markets in the pre-crisis period, and the returns of most stock markets during the post-crisis periods. The study of Chan et al (1992) also indicates that US and UK stock markets had significant influence on the Asian markets. The level of spillover originates from German stock market declined from the pre-crisis to the post-crisis period; while the spillover from US and UK markets increased significantly over time.…”

“…For instance, Liu and Pan (1997) examine the interdependence between US and five Asian markets, and conclude that US stock market plays a dominant role in transmitting returns and volatilities spillovers to other four Asian markets than the Japanese market. The study of Chan, Gup, and Pan (1992) also indicates the significant influence of US and UKstock markets on Asian markets. Balios and Xanthakis (2003) examined the interdependence and dynamic linkage among US, five European countries and Japan stock market indices.…”

Pasar Modal Regional Dalam Masa Krisis Finansial 1997 Dan 2007: Kajian Terhadap Interdependensi Bursa Efek Asia Tenggara

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ABSTRACT

The devastating effect of the two world finansial crises had widely influenced not only on

PENDAHULUANSejumlah peneliti (Chan et al, 1992;Arshanapalli et al, 1995;DeFusco et al, 1996;Sheng dan Tu, 2000;Azman-Saini et al, 2002;Hee, 2002;dan Yang et al, 2003) melaporkan hasil-hasil temuan yang bervariasi, tetapi sebagian besar dari hasil temuan tersebut menyimpulkan bahwa derajat hubungan integrasi di antara bursa-bursa efek di kawasan Asia Pasifik cenderung semakin menguat sepanjang masa krisis, jika dibandingkan dengan sebelum atau sesudah masa krisis. Hal ini mengindikasikan, bahwa momen terjadinya krisis sangat mungkin menyebabkan perubahan yang signifikan terhadap pola inter-dependensi pasar modal regional.

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