Stock Market Interdependencies: Evidence from the Asian NIEs

Document Type

Article

Language

eng

Format of Original

23 p.

Publication Date

Fall 1994

Publisher

Elsevier

Source Publication

Journal of Macroeconomics

Source ISSN

0164-0704

Abstract

National asset markets have become more integrated in recent years. This paper investigates the interrelationship, if any, among the stock markets in four newly industrialized economies (NIEs) in Asia. The results indicate that a significant link exists between the stock markets of Hong Kong and Singapore and those of Japan and the United States. On the other hand, the markets with severe restrictions on cross-country investing, that is, Korea and Taiwan, are not responsive to innovations in foreign markets. Finally, the United States stock market influences, but is not influenced by, the four Asian markets.

Comments

Journal of Macroeconomics, Vol. 16, No. 4 (Fall 1994): 629-651. DOI.

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