The relationship between developed equity markets and the Pacific Basin's emerging equity markets |
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| Authors: | Baekin Cha Sekyung Oh |
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| Institution: | 1. Department of Statistics and O.R. and IEMath-GR, University of Granada, Spain;2. Department of Statistics, University Carlos III of Madrid, Spain;3. Department of Statistics, Université des Sciences et Technologies de Lille 1, France and ISMMA Romanian Academy, Romania |
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| Abstract: | Using a trivariate vector autoregression (VAR) model with a proper control for heteroscedasticity, this paper investigates the relationships between the two largest equity markets in the world—the U.S. and Japan—and the four Asian emerging equity markets: Hong Kong, Korea, Singapore, and Taiwan. Evidence indicates that the links between the developed markets and the Asian emerging markets (AEMs) began to increase after the stock market crash in October 1987, and have significantly intensified since the outbreak of the Asian financial crisis in July 1997. |
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| Keywords: | Asian emerging markets Asian financial crisis Vector autoregression |
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