The relationships among stock indices on asian-pacific exchanges |
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Authors: | Lawrence S T Tai |
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Institution: | (1) Department of Accounting & Finance, The Chinese University of Hong Kong, China |
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Abstract: | This article investigates the systematic covariations between stock prices in nine Asian and Pacific countries. The data used were daily closing prices of major indices on exchanges located in Tokyo, Australia, New Zealand, Hong Kong, Singapore, Seoul, Taipei, Manila, and Bangkok from 4 January, 1980 through 31 March, 1984. Using spectral analysis, the results indicate that most prices move simultaneously, even in the context of hourly fluctuations. |
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