Technical gazette, Vol. 21 No. 3, 2014.
Original scientific paper
The study of relationship between Asian stock exchanges and New York stock exchange
Neda Bashiri
; Department of International Economic, Faculty of Economics, Yeravan State University, Yerevan, Armenia
Amir Mohammad Zadeh
; Faculty of Management and Accounting, Islamic Azad University, Qazvin Branch, Qazvin, Iran
Abstract
This paper investigates the linkages between equity markets of 5 Asian countries, including Malaysia, Indonesia, the Philippines, Japan and Turkey and those in USA employing correlation analysis and Vector Auto Regressive (VAR). We used monthly data for the period 1995 ÷ 2010. The US stock markets were correlated with all Asian stock markets and Japan was correlated least strongly with the other Asian markets. The VAR results show significant multilateral returns interactions among the markets. Overall, the results show that historical returns, either own or from other stock markets, help explain market current returns. This is in contrast to weak form efficiency. Additionally, we found a significant spillover effect from the US equity market to all 5 of the Asian markets. In block exogenity test we found that USA is the most exogenous. But the influence of the US on the stock markets of Japan is relatively weak.
Keywords
Asian stock markets; linkage; spillover effect; co-movement
Hrčak ID:
123336
URI
Publication date:
24.6.2014.
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