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1.
This paper examines price linkages among Asian equity markets in the period surrounding the recent Asian economic, financial and currency crises. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. Multivariate cointegration and level VAR procedures are conducted to examine causal relationships among these markets. The results indicate that there is a stationary relationship and significant causal linkages between the Asian equity markets. Nevertheless, lower causal relationships that exist between the developed and emerging equity markets suggest that opportunities for international portfolio diversification in Asian equity markets still exist.  相似文献   

2.
Rising asset prices spurred by Asia's emerging economy have drawn much attention recently. This study examines one source of growth patterns in asset prices by analyzing the integration relationship between stock markets and real estate markets in Asia. Six economies are selected for empirical analysis: China, Hong Kong, Japan, Singapore, South Korea, and Taiwan. Results show that stock markets are integrated with real estate markets in Japan, and partially integrated with real estate markets in China, Hong Kong, and Taiwan. This implies that these two investment vehicles are substitutable in China, Hong Kong, Japan, and Taiwan, and provide diversification potential for investment portfolios in South Korea and Singapore. Examining the timing of market changes, we found the real estate market leading the stock market in some countries, and the stock market leading the real estate market in others. We conclude that stock and real estate markets show a variety of inter-relationships depending on economic and political policy environments.  相似文献   

3.
We use a bivariate GJR-GARCH model to investigate simultaneously the contemporaneous and causal relations between trading volume and stock returns and the causal relation between trading volume and return volatility in a one-step estimation procedure, which leads to the more efficient estimates and is more consistent with finance theory. We apply our approach to ten Asian stock markets: Hong Kong, Japan, Korea, Singapore, Taiwan, China, Indonesia, Malaysia, the Philippines, and Thailand. Our major findings are as follows. First, the contemporaneous relation between stock returns and trading volume and the causal relation from stock returns and trading volume are significant and robust across all sample stock markets. Second, there is a positive bi-directional causality between stock returns and trading volume in Taiwan and China and that between trading volume and return volatility in Japan, Korea, Singapore, and Taiwan. Third, there exists a positive contemporaneous relation between trading volume and return volatility in Hong Kong, Korea, Singapore, China, Indonesia, and Thailand, but a negative one in Japan and Taiwan. Fourth, we find a significant asymmetric effect on return and volume volatilities in all sample countries and in Korea and Thailand, respectively.  相似文献   

4.
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.  相似文献   

5.
This article develops a jump-dependent model to capture the dependences between spot and futures returns and their jumps simultaneously, named JD model. We examine hedging performance of the presenting JD model for the futures contracts of Hong Kong, Japan, Korea, Singapore, and Taiwan. The results have shown that the JD model has better out-of-sample performance than the OLS for Korea, Singapore, and Taiwan. Since these three markets have higher jump dependence between spot and futures, we consider that jump dependence plays an important role in hedging performance. The higher jump dependence means spot and futures markets move more closely when unusual news reveals itself and thus futures could hedge the spot more effectively when extreme unusual news arrives.  相似文献   

6.
This paper examines whether earnings or book value is the dominant valuation accounting measure for companies reporting under alternative accounting standards — International Accounting Standards (IAS)/International Financial Reporting Standards (IFRS), U.S. Generally Accepted Accounting Principles (U.S. GAAP) or domestic accounting standards of China, Hong Kong, Japan, Korea and Singapore. Our sample consists of domestic firms in the five Asian countries and firms from these countries cross-listed in the United States as American Depositary Receipts (ADRs) from 2002 to 2011. For domestic firms, book value is more informative than earnings for firms from Hong Kong, Singapore, China, Japan and Korea during 2002–2011 although their accounting standards are influenced by different systems. For the ADR sample, book value is more informative than earnings for U.S. GAAP reporters and reconcilers during 2002–2007. However, earnings are more informative than book value for U.S. GAAP reconcilers from China. After 2007, ADRs in our sample from Hong Kong, Japan and Korea continued to file under U.S. GAAP. Some ADRs from China filed under U.S. GAAP and some filed under IFRS. Earnings are more informative than book value for IFRS users; however, book value has higher incremental value relevance than earnings for U.S. GAAP users. We contribute to prior research by providing evidence on the valuation properties based on accounting measures reported under different GAAPs for the Asian countries.  相似文献   

7.
This article tests pure contagion effects among four Asian foreign exchange markets, namely, Japan, Hong Kong, Singapore, and Taiwan during the 1997 Asian crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals or systematic risks. The empirical results show strong contagion effects in both conditional means and volatilities of those markets after systematic risks have been accounted for. Specifically, the contagion-in-mean effects are mainly driven by the past return shocks in Hong Kong, Singapore, and Taiwan. As for contagion in volatility, the lead/lag relationships appear to be multidirectional among Japan, Singapore, and Taiwan, but between Hong Kong and Singapore, and between Hong Kong and Taiwan, they are unidirectional, with Hong Kong playing the dominant role in generating negative volatility shocks. In addition, the conditional ICAPM with asymmetric multivariate general autoregressive conditional heteroscedastic in mean (MGARCH(1,1)-M) structure is able to explain/predict on average 17.28% of the return variations in those markets. Therefore, this study provide a further evidence that the time-varying risk premium is a very strong candidate in explaining the predictable excess return puzzle [Lewis, K. K. (1994). Puzzles in international financial markets. NBER Working Paper No. 4951] since the risk premia founded in this article are not only statistically significant but also economically significant.  相似文献   

8.
Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets   总被引:1,自引:0,他引:1  
The “January effect” and the “weekend effect” have proven to be persistent anomalies in U.S. equity markets. The objective of this paper is to examine seasonal and daily patterns in equity returns of four emerging markets: Hong Kong, Singapore, Malaysia, and the Philippines. These markets are gaining importance with the globalization of business; therefore, it is necessary to examine the efficiency and functioning of these capital markets. Our analysis uses daily data for the 12 years from September 1, 1976, to June 30, 1988. The results support the existence of a seasonal pattern in these markets. Returns in the month of January are higher than any other month for all markets examined except the Philippines. A robust day-of-the-week effect is also found. These markets exhibit a weekend effect of their own in the form of low Monday returns. In addition, there exists a strong “Tuesday effect,” which may be related to the + 13 hour time difference between New York and these emerging markets.  相似文献   

9.
U.S. Equity Investment in Emerging Stock Markets   总被引:2,自引:0,他引:2  
This article examines U.S. equity flows to emerging stock marketsfrom 1978 to 1991 and draws three main conclusions. First, despitethe recent increase in U.S. equity investment in emerging stockmarkets, the U.S. portfolio remains strongly biased toward domesticequities. Second, of the fraction of the U.S. portfolio thatis allocated to foreign equity investment, the share investedin emerging stock markets is roughly proportional to the shareof the emerging stock markets in the global market capitalizationvalue. Third, the volatility of U.S. transactions in emerging-marketequities is higher than in other foreign equities. The normalizedvolatility of U.S. transactions appears to be falling over time,however, and we find no relation between the volume of U.S.transactions in foreign equity and local turnover rates or volatilityof stock returns.  相似文献   

10.
In this paper, we study the extreme dependence between the markets in Hong Kong, Shanghai, Shenzhen, Taiwan and Singapore. The tail dependence coefficient (TDC), which measures how likely financial returns move together in extreme market conditions, is modeled dynamically using the Multivariate Generalized Autoregressive Conditional Heteroscedasticity model with the time-varying correlation matrix of Tse and Tsui (Journal of Business & Economic Statistics, 20(3):351–363, 2002). The time paths of the TDC indicate that Hong Kong stocks had the highest extreme dependence during the Asian financial crisis and their TDCs have followed an increasing trend since 2006. The results in this paper also show that the TDC pattern of Singapore with the other markets is very similar to the TDC pattern of Hong Kong with the other markets. An increasing trend in the extreme dependence between Shanghai A Share Index and Shanghai B Share Index and between the Hang Seng Index and the Hong Kong China Enterprise Index is observed from 2002 to 2007. A substantial rise in the TDC between Shenzhen A Share Index and Shenzhen B Share Index was recorded after the China market reforms in 2005. Our TDC modeling with Asian market data provides evidence that Asian markets are becoming integrated and their extreme co-movements during financial turmoil are becoming stronger.  相似文献   

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