Premium
Who Moves the Asia‐Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration
Author(s) -
Ghosh Asim,
Saidi Reza,
Johnson Keith H.
Publication year - 1999
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1999.tb00450.x
Subject(s) - cointegration , stock (firearms) , economics , asia pacific , empirical evidence , financial economics , sample (material) , econometrics , international economics , economy , geography , philosophy , chemistry , archaeology , epistemology , chromatography
This study examines the recent debacle of the Asian‐Pacific stock markets by utilizing the theory of cointegration to investigate which developing markets are moved by the markets of Japan and the United States. The empirical evidence suggests that some countries are dominated by the US, some are dominated by Japan, and the remaining countries are dominated by neither during the time period investigated. The appropriate error correction model is estimated and is used to perform out‐of‐sample forecasting.