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Price linkages between the East Asia stock markets in different time horizons
Jönköping University, Sweden.
2012 (English)In: Presented at the 3rd Linnaeus University Workshop in Stochastic Analysis and Applications. Växjö, Sweden, May 24-25, 2012, 2012Conference paper, Oral presentation only (Other academic)
Abstract [en]

This paper examines the causal relationship between the US and Asian equity markets as well as the causal relationship among the Asian equity market themselves (China, Hong Kong, Japan, Singapore, Korea, and Taiwan). The links between the national stock markets of these economies and the most influential stock market, that of the US, is extensively analyzed, especially in different sample periods including three crisis periods since the late 1990s (the Asian financial crisis, dot-com bubble burst, and the subprime financial crisis). This paper shows that the major equity markets in the East Asian region are closely integrated, thereby diminishing the potential for Asian portfolio diversification. The causal linkage of the US equity market to the Asian equity markets does not have notably different patterns depending on whether it is during a crisis period or not. This finding holds for the finest time scale of 1-2 days movements of the stock price indices. The influence of the US equity market is much less at larger time scales throughout all sub-sample periods. The leading role of the US equity market substantially weakens while the interdependence among the Asian equity markets is stronger at longer time scales of 8 to 16 days. A general finding is that there is evidence of a varying number of causal relationships among the equity markets in this study as well as changes in directions of causality in different time scales.

Place, publisher, year, edition, pages
2012.
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-78452OAI: oai:DiVA.org:lnu-78452DiVA, id: diva2:1258056
Conference
3rd Linnaeus University Workshop in Stochastic Analysis and Applications. Växjö, Sweden, May 24-25, 2012
Available from: 2018-10-23 Created: 2018-10-23 Last updated: 2019-09-09Bibliographically approved
In thesis
1. Dynamics of macroeconomic and financial variables in different time horizons
Open this publication in new window or tab >>Dynamics of macroeconomic and financial variables in different time horizons
2012 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This dissertation consists of an introductory chapter and four papers dealing with financial issues of open economies, which can be in two broad categorizations: 1) exchange rate movements and 2) stock market interdependence. The first paper covers how the exchange rate changes affect the prices of internationally traded goods. With the variables (the price of exports in exporters’ currency and the exchange rate, both of which are in logarithmic form) being cointegrated, a model with both long- and short-run characteristics (the Error Correction Model, ECM) is formulated.

The second paper relates to the standard macroeconomic models of exchange rate determination. This paper investigates the relationship between the exchange rate and the domestic-foreign interest rate differential.

A relevant issue associated with the relationship between export prices and exchange rates for different industries is found in the third paper. The responsiveness of firms’ profitability to changes in exchange rates (i.e. exchange rate exposure) is tested using a factor model.

After the three papers noted above, the dissertation moves on to the final paper which explores the relationship between national stock markets (i.e. interdependence). The causal linkages of the U.S. stock market to each of six eastern Asian national stock markets (China, Hong Kong, Japan, Singapore, South Korea and Taiwan) as well as the causal linkages among those Asian equity markets are tested in a vector autoregression (VAR) model using wavelet-decomposed data.

Place, publisher, year, edition, pages
Jönköping: Jönköping International Business School, Jönköping University, 2012. p. 48
Series
JIBS Dissertations Series, ISSN 1403-0470 ; 077
National Category
Economics
Research subject
Economy, Economics
Identifiers
urn:nbn:se:lnu:diva-78458 (URN)978-91-86345-29-7 (ISBN)
Public defence
2012-04-13, 10:00 (English)
Opponent
Supervisors
Available from: 2018-10-25 Created: 2018-10-24 Last updated: 2019-08-30Bibliographically approved

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Karlsson, Hyunjoo Kim

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CiteExportLink to record
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Citation style
  • apa
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Language
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Output format
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