Common stochastic trends and volatility in Asian-Pacific equity markets

Global Finance Journal

Volumn 10, Issue 2, 1999, Pages 161-172

  Pan, Ming Shiun ^a   Liu, Y Angela ^b   Roth, Herbert J ^a  

^a SHIPPENSBURG UNIVERSITY   (United States)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Asian pacific equity markets; Cointegration; GARCH; Time varying volatility

Indexed keywords

EID: 0033192056     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1044-0283(99)00012-5     Document Type: Article

References (26)

1. Alexakis, P., & Apergis, N. (1996). ARCH effects and cointegration: Is the foreign exchange market efficient? J Banking Fin 20, 687-697.
2. Arshanapalli, B., & Doukas, J. (1993). International stock market linkage: Evidence from the pre- and post-October 1987 period. J Banking Fin 17, 193-208.
3. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. J Econometrics 31, 307-327.
4. Chan, K. C., Gup, B. E., & Pan, M.-S. (1992). An empirical analysis of stock prices in major Asian markets and the United States. Fin Rev 27, 289-307.
5. DeFusco, R. A., Geppert, J. M., & Tsetsekos, G. P. (1996). Long-run diversification potential in emerging stock markets. Fin Rev 31, 343-363.
6. Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. Econometrica 50, 987-1008.
7. Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica 55, 251-276.
8. Engle, R. F., & Kozicki, S. (1993). Testing for common features. J Bus Econ Stat 11, 369-380.
9. Engle, R. F., & Susmel, R. (1993). Common volatility in international equity markets. J Bus Econ Stat 11, 167-176.
10. Engle, R. F., & Yoo, B. S. (1987). Forecasting and testing in co-integrated systems. J Econometrics 35, 143-159.
11. Eun, C. S., & Shim, S. (1989). International transmission of stock market movements. J Fin Quant Anal 24, 241-256.
12. Fischer, K. P., & Palasvirta, A. P. (1990). High road to a global marketplace: The international transmission of stock market fluctuations. Fin Rev 25, 371-394.
13. Gannon, G. L. (1996). First and second order inefficiency in Australasian currency markets. Pacific-basin Fin J 4, 315-327.
14. Hamao, Y., Masulis, R., & Ng, V. (1990. Correlations in price changes and volatility across international stock markets. Rev Fin Stud 3, 281-308.
15. Hilliard, J. (1979). The relationship between equity indices on world exchange. J Fin 34, 103-114.
16. Johansen, S. (1988). Statistical analysis of cointegration vectors. J Econ Dyn Control 12, 231-254.
17. Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration: With applications to the demand for money. Oxford Bull Econ Stat 52, 169-210.
18. King, M., & Wadhwani, S. (1990). Transmission of volatility between stock markets. Rev Fin Stud 3, 5-33.
19. Ko, K., & Lee, S. (1991). A comparative analysis of the daily behavior of stock returns: Japan, the US and the Asian NICs. J Bus Fin Account 18, 219-234.
20. Koutmos, G., & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. J Int Money Fin 14, 747-762.
21. Liu, Y. A., & Pan, M.-S. (1997). Mean and volatility spillover effects in the U.S. and Pacific-basin stock markets. Multinatl Fin J 1, 47-62.
22. MacKinnon, J. G. (1991). Critical values for cointegration tests. In R. F. Engle & C. W. J. Granger (Eds.), Modelling Long Run Economic Relationships (pp. 267-276). Oxford: Oxford University Press.
23. Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bull Econ Stat 54, 461-471.
24. Panton, D., Lessig, V., & Joy, O. (1976). Comovements of international equity markets: A taxonomic approach. J Fin Quant Anal 11, 415-432.
25. Theodossiou, P., & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: Further empirical evidence. J Fin Res 16, 337-350.
26. Theodossiou, P., Kahya, E., Koutmos, G., & Christofi, A. (1997). Volatility reversion and correlation structure of returns in major international stock markets. Fin Rev 32, 205-224.