Open AccessExploring Return Transmission in Asian Stock Markets
Author(s) -
Chikashi Tsuji
Publication year - 2019
Publication title -
journal of management research
Language(s) - English
Resource type - Journals
ISSN - 1941-899X
DOI - 10.5296/jmr.v11i4.15533
Subject(s) - stock (firearms) , stock market , china , vector autoregression , financial economics , stock market bubble , autoregressive model , economics , econometrics , business , geography , context (archaeology) , archaeology
This paper investigates the return transmission between four Asian stock markets in Japan, China, Korea, and Taiwan. Specifically, applying a vector autoregression (VAR) model, this study derives the following interesting findings and interpretations. First, our results reveal that (1) rapid cross-country and autoregressive return transmission between the four Asian stock markets recently decreased, and (2) recently, the effects from the Japanese stock market to the other three Asian stock markets became weaker. Furthermore, our results clarify that (3) the return transmission effect from the Chinese stock market to the other three Asian stock markets is generally weak, also meaning that the Chinese stock market evolves autonomously.