Common stochastic trends and volatility in Asian-Pacific equity markets |
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| Authors: | Ming-Shiun Pan Y Angela Liu Herbert J Roth |
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| Institution: | a Department of Finance, Decision Sciences, and Information Systems, Shippensburg University, Shippensburg, PA, 17257, USA;b Department of Business Administration, National Chung Cheng University, Chia-Yi 226, Taiwan, People's Republic of China |
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| Abstract: | This paper uses Johansen's cointegration test and a modified cointegration test with generalized autoregressive conditional heteroskedasticity (GARCH) effects to examine linkages between the U.S. and five Asian-Pacific stock markets (Australia, Hong Kong, Japan, Malaysia, and Singapore) during the period from 1988 to 1994. The modified cointegration test with GARCH effects is used to assess whether these stock price series share common time-varying volatility. The results indicate that the six stock markets are highly integrated through the second moments of stock returns but not the first moments. |
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| Keywords: | Asian pacific equity markets GARCH Cointegration Time-varying volatility |
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