The Relationship Between The Movements Of Capital Markets In Developed Economies And Their Emerging Market Counterparts In The Asian Pacific Region
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Date
2004
Authors
Choo Hong, Loo
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Abstract
This research revisits at the relationship between the movements of capital markets in
developed economies and their emerging market counterparts in the Asian Pacific region
using market indices of the American, British, Malaysian, Singaporean, Mainland
Chinese, Hong Kong Special Administrative Region (SAR), Indian, Japanese and
Australian markets for the periods 1997 to 2003. The Johansen's Cointegration Test,
Granger Causality Test and Vector Correction Model Test were used to determine the
long term and short term relationship between the markets. This study finds that the
Asian markets are very much influenced by the events in the United States rather than
other developed markets. Of all the markets surveyed, The South East Asian markets are _
the most sensitive towards events in their own region and regions outside themselves.
Mainland China in the long run are not affected by events outside themselves. It is
implied that Asian markets are rather speculative as most connections between bourses
only happens in the short term.
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Keywords
Capital Markets , Capital Markets