Linkages between the Korea and Asia-Pacic stock markets

  • Shin, Yang-Gyu (Department of Asset Management, Daegu Haany University)
  • Received : 2010.10.16
  • Accepted : 2010.11.08
  • Published : 2010.11.30

Abstract

The paper investigates linkages between the Korea stock market and each of the major Asia-Pacific stock markets, namely those of the Japan, China, Australia, New-Zealand, We employs the Johansen technique to test for pairwise cointergration between the Korea stock market and each of the major Asia-Pacific stock markets. The major stock indices of the markets are used, from 1 September 2006 to 31 August 2010. The results from the test implies that the Korea market is not cointergrated with any of the major Asia-Pacific markets during the period. Our study implies that there are no long-run linkages between the Korea and any of the major Asia-Pacific stock markets.

Keywords

References

  1. Angelos Kanas (1998). Linkages between the us and european equity markets: Further evidence from cointegration tests. Applied Financial Economics, 8, 607-614. https://doi.org/10.1080/096031098332646
  2. Bill Wan-Sing and Yan-Leung Cheung (1995). Interdependence of asian emerging equity markets. Journal of Business Finance & Accounting, 22, 281-288. https://doi.org/10.1111/j.1468-5957.1995.tb00684.x
  3. Carole Comerton-Forde and james Rydge (2006). The current state of Asia-Pacific stock exchanges: A critical review of market design. Pacific-Basin Financial Journal, 14, 1-32. https://doi.org/10.1016/j.pacfin.2005.05.002
  4. Choi M. S., Hwang S. Y. and Park J. A. (2007). Analysis of multivariate financial time series using cointegration: Case Study. Journal of Korean Data & Information Science Society, 18, 73-80.
  5. Choi Wan-Soo (2006). Dynamic nature of conditional correlation in East-Asia equity market. Korean Journal of Finance, 19, 155-187.
  6. Johnansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and control, 12, 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  7. Laurence S. Copeland (1991). Cointegration tests with daily exchange rate data. Oxford Bulletin of Economics and Statistics, 53, 185-198
  8. Philip Brown, Angeline Chua and Jason Mitchell (2002). The influence of cultural factors on price clustering: Evidence from Asia-Pacific stock markets. Pacific-Basin Financial Journal, 10, 307-332. https://doi.org/10.1016/S0927-538X(02)00049-5
  9. Rita L. D'Ecclesia and Mauro Costantini (2006). Comovements and correlations in International stock markets. The European Journal of Finance, 12, 567-582. https://doi.org/10.1080/13518470500531135
  10. Robert F. Engle and C. W. J. Granger (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55, 251-276. https://doi.org/10.2307/1913236
  11. Shin Y. K. (2006). An empirical study on stock trading value of each investor type in the korean stock market. Journal of Korean Data & Information Science Society, 17, 1099-1106.
  12. Shin Y. K. (2008). Empirical analysis on profit and stability of korean reverse convertible funds. Journal of Korean Data & Information Science Society, 19, 1073-1080.
  13. Shin Y. K. (2009). Study on the causality between call rate and exchange rate under global economic crisis. Journal of Korean Data & Information Science Society, 20, 655-660.
  14. William W. S. Wei (2006). Time series analysis: Univariate and multivariate method, Pearson Addison Wesley, New York.