Threshold effect in international linkage of stock prices

Hirayama, Kenjiro; Tsutsui, Yoshiro

doi:10.1016/s0922-1425(98)00021-8

Cited by 29 publications

(18 citation statements)

References 5 publications

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“…However, if the TSE 10. Hirayama and Tsutsui (1998b) obtained this result with a regression analysis. is efficient, all of the relevant information from New York will be absorbed at the time of opening.…”

Section: Discussionmentioning

confidence: 91%

The Interdependence and Cause of Japanese and US Stock Prices: An Event Study

Tsutsui

2002

Asian Economic Journal

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This paper analyses the interdependence between the US and Japanese stock price indexes, focusing on whether it exists only when a large change in the index occurs and what its possible causes are. To this end, I employ a kind of 'event study', which seeks to investigate whether the stock price index of one country significantly reacts only to a large change in the index of the other country. The results suggest that: (i) a strong two-way causality between the indexes is recognized clearly when one index shows a large change, while the interdependence is much less clear for small changes; and (ii) the news of a large fall or rise of the index itself plays an important role in the interdependence.

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Section: Discussionmentioning

confidence: 91%

The Interdependence and Cause of Japanese and US Stock Prices: An Event Study

Tsutsui

2002

Asian Economic Journal

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“…Daily data was selected to evade the incorrect correlation problem (Patra and Poshakwale 2006). To manage missing data, Occam's razor technique is used in this study by filling in the last day price of the stock market (Majid et al 2009;Hirayama and Tsutsui 1998). Secondary data for the determinants of stock market co-movement was collected from Data Stream, State Bank of Pakistan, World Bank, KSE website, and trading economics website.…”

Section: Data Collectionmentioning

confidence: 99%

Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Aamir

Shah

2018

JRFM

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This study analyzes the determinants of stock market co-movement between Pakistan and Asian emerging economies for the period 2001 to 2015. Augmented Dickey and Fuller (ADF) and Philips-Perron (PP) tests are applied to check co-integration between their stock markets. Results of this study reveal that there is long-term integration between the stock market of Pakistan and the stock markets of China, India, Indonesia, Korea, Malaysia and Thailand. This study reports the driving forces of the co-movement between the Pakistan and Asian emerging markets where co-integration is found. Results of the panel data reveal that there are significant underlying forces of integration between Pakistan and each Asian emerging stock market. The findings of this study have significant implications for policy makers in Pakistan who are designing strategies for macroeconomic harmonization and stability of the country's economy against financial shocks.

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“…Following Dungey, Fry, González-Hermosillo, Martin, and Tang (2010), Karim et al (2010), and Majid and Kassim (2009), this study sets July 26, 2007 as the starting point of the U.S. subprime crisis. In the case of missing data, this study adopts a similar technique suggested by Hirayama and Tsutsui (1998) and Karim et al (2010), whereby the slots of missing data were filled with the previous day's market index values.…”

Section: Datamentioning

confidence: 99%

The Impact of Subprime Crisis on Asia-Pacific Islamic Stock Markets

Zhang

Hamid

2015

Journal of Asia-Pacific Business

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The objective of this study is to examine the impact of the U.S. subprime crisis on the long-term and short-term dynamic relationships between selected Asia-Pacific Islamic stock markets and conventional stock markets in the region. The comovements among these stock markets are examined through cointegration tests, and vector error correction model-based Granger causality tests, for the period from February 2006 to December 2010. The study reveals that, after the debut of the U.S. subprime crisis, Asia-Pacific Islamic stock markets increasingly integrated among themselves and with their conventional counterparts. In addition, the conventional markets of the United States and Japan significantly influence the short-run fluctuations of Asia-Pacific Islamic and conventional markets.

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Threshold effect in international linkage of stock prices

Cited by 29 publications

References 5 publications

The Interdependence and Cause of Japanese and US Stock Prices: An Event Study

The Interdependence and Cause of Japanese and US Stock Prices: An Event Study

Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

The Impact of Subprime Crisis on Asia-Pacific Islamic Stock Markets

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