Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/671786
Title: Transmission of market movements and linkages between equity markets in the Asia Pacific region: a generalised VAR approach
Authors: Dekker, Arie
Sen, Kunal
Young, Martin
Conference Name: Eleventh Annual PACAP/FMA Finance Conference
Keywords: Asia pacific region
Vector autoregression (VAR) analysis
Market movements
Conference Date: 1999-07-08
Conference Location: Pan Pacific Hotel, Singapore
Abstract: This study provides an empirical analysis of the transmission of market movements to examine the linkages between markets, and the efficiency with which innovations between markets are transmitted in the Asia Pacific region. Vector autoregression (VAR) analysis is carried out on daily data for the period, January 1, 1987 to May 29, 1998. This study utilises the generalised approach to forecast error variance decomposition and impulse response analysis in favour of the more traditional orthogonalised approach. The findings of this study show that the Asia Pacific region is characterised by a number of markets with strong linkages. The impulse response functions are consistent with the notion of informationally efficient equity markets in the region.
Pages: 126
Call Number: HG4026.A536 1999 sem
Publisher: Nanyang Business School, Nanyang Technological University
URI: https://ptsldigital.ukm.my/jspui/handle/123456789/671786
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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