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Pacific Rim Stock Market Integration Under Different Federal Funds Rate Regimes
Author(s) -
Cheung Daniel W.W.
Publication year - 1997
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00166
Subject(s) - stock (firearms) , vector autoregression , federal funds , stock market , economics , stock exchange , monetary economics , financial economics , monetary policy , business , finance , geography , context (archaeology) , archaeology
This study uses Sims‐type vector autoregression technique to examine the stock markets integration among the US and four major Asian‐Pacific stock exchanges during 1993 and 1994. The two different sample periods capture the change in US monetary policy in 1994. Empirical results show that when the US was targeting the federal funds rate in 1994, the variations in US stock returns much better explain the variations of stock returns in Hong Kong, Singapore and Australia.