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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Makale Bilgileri

Dergi:
İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı: Co-movements of and Linkages between Asian Stock Markets
Yazar(lar): Ilhan Meric, Joe H. Kim, Linguo Gong, Gulser Meric
Cilt: 3
Sayı: 1
Yıl: 2012
Sayfa: 1-15
ISSN:1309-2448
Özet

International marketers may be interested in stock market linkages for variousreasons: the co-movements of equity prices appear to reflect notonly market globalization but also the globalization of capital resources. The co-movements can affect the balancing strategies ofcountry market portfolios as they indicate opportunities and risks. The strategic choice of alternative market presence, such as market entry via export marketing or a full ownership and marketing may need to match with the type of financial resources. The co-movements of and the linkages between the U.S. stock market and Asian stock markets have been studied extensively. However, little attention has been given to the co-movements of Asian stock markets and the lead/lag linkages between them. In this paper, we study this issue with the principal components analysis (PCA) and Granger-causality (G-C) statistical techniques. We find that the contemporaneous co-movements of Asian stock markets have become closer and portfolio diversification benefits with Asian stock markets have diminished over time during the January 1, 2001-January 1, 2011 period. We find that the Singapore, Indian, and Japanese stock markets are the most influential stock markets and the Philippine and South Korean stock markets are the least influential stock markets in Asia. The Japanese, Singapore, and New Zealand stock markets are the least affected stock markets and the Shanghai, Australian, and South Korean stock markets are the most affected stock markets by the movements in the other Asian stock markets.

Anahtar Kelimeler: Asian  stock markets, Co-movements of stock markets, Linkages between stock markets, Principal components analysis, Granger causality
JEL Sınıflandırması: G11, G15

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