The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets

Cheung, Yan‐Leung; Mak, S. C.

doi:10.1080/758527545

Cited by 145 publications

(82 citation statements)

References 21 publications

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“…Lee (2004) suggested that changes in US stock market also has impact on the Korean stock market. Similarly many of the past researchers like Eun and Shim (1989), Darrat and Zhong (2000), Cheung and Mak (1992) and Voronkova (2004) emphasized the influential role of developed markets on the stability of emerging markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets

Rehman¹,

Shah²

2016

RECFin

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This paper investigates empirically the linkage between frontier and emerging markets of Asia with the developed markets of Unites States, Japan and Europe over the period of 15 years from January 2000 to December 2014. To deal with heterogeneous panels, we have made use of pooled mean group statistics suggested by Pesaran et al. (2001) for more reliable results. After testing for panel unit root and co-integration, both short and long term relationship were found among the included markets thereby supporting the feedback hypothesis. The direction of relationship is more important from developed to emerging and frontier markets than among the developing-emerging markets. Results suggest that integration is higher among EFA and Japanese markets than the EFA and US markets. These findings are in accordance with the view that level of stock market integration continues to increase. The finding of this paper has important implication for the researchers, practitioners and policy makers. Knowledge about the kind of relationship between EFA and developed markets can help governments of EFA markets to devise various strategies keeping in view their return sensitivity to the developed equity markets. This can help in predicting the return pattern of emerging and frontier markets over the period of short and long run. Furthermore, the relationship among EFA and developed markets enable investors to reap maximum diversification benefits and to minimize risks due to financial contagion or spillover phenomena. Keywords: Heterogeneous Panels; Frontier Markets; Equity Returns; Pooled Mean Analysis. JEL Classification: G11, G15, F3, F65.

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Section: Literature Reviewmentioning

confidence: 99%

Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets

Rehman¹,

Shah²

2016

RECFin

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“…SOURCE : Cheung et Mak (1992) Nous nous limitons dans cette étude à l'analyse des marchés boursiers en émergence de Hong-Kong, de la Malaisie et de Singapour. Ces trois pays ont été choisis principalement pour la part élevée (plus de 87%) disponible pour les investisseurs étrangers, mais aussi à cause du système de compensation avancé au niveau des transactions boursières.…”

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Intégration des marchés boursiers d’Asie et des États-Unis

Samson

Diaw

2009

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RÉSUMÉ Nous présentons dans cette étude une analyse des rendements boursiers de trois pays d’Asie, Hong-Kong, la Malaisie et Singapour, simultanément avec le marché de New York (NYSE). Deux approches sont proposées, une première qui repose sur la spécification des préférences des individus et une seconde qui modélise plutôt celles-ci comme une variable non observable. Les deux approches ont donné lieu au même résultat empirique impliquant une augmentation dans le niveau d’intégration de ces quatre marchés boursiers entre 1981:3 et 1993:3.

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“…Not only the correlation and co-movement were studied but also the focus was expanded to the structure of the inter-linkages (Eun & Shim, 1989). Cheung and Mak (1992), and Masih and Masih (1997;1999; found that the US market is a global factor affecting both the developed and developing markets. Chan (2002) quoted-"The financial market in United States has long been seen as the leader of global financial market".…”

Section: Literature Reviewmentioning

confidence: 99%

International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study

Dasgupta¹

2016

IJEF

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This paper presents a comprehensive research by studying the cointegration and dynamic linkages of emerging economies all over the world with special emphasis to the US and India to point out the most attractive of them for international portfolio diversification with a lengthy data set of 2003-12 by using appropriate methodologies. It is found that the Indian stock market has short-run granger relationships with most of its BRIC counterparts and some others. In the long-run, nine co-integration relationships are found. It implies that all these stock markets are cointegrated. The US dominance on most markets and dynamic linkages with them has been proved, at least in the short-run. Overall, this study has found that the emerging economies stock markets and Russia don"t provide any portfolio diversification opportunity for the US and other investors.

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The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets

Cited by 145 publications

References 21 publications

Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets

Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets

Intégration des marchés boursiers d’Asie et des États-Unis

International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study

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