An empirical analysis of the transmission of market movements : linkages between equity markets in the Asia Pacific region : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey University

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dc.contributor.authorDekker, Arie
dc.date.accessioned2016-07-25T02:28:44Z
dc.date.available2016-07-25T02:28:44Z
dc.date.issued1998
dc.description.abstractThis 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 has been carried out on daily data for the period, January 1, 1987 to May 29, 1998, for ten markets in the Asia Pacific region: Australia, Hong Kong, Japan, Malaysia, New Zealand, the Philippines, Singapore, Taiwan, Thailand and the United States. This is the first study, that the author is aware of, to consider the generalised approach to forecast error variance decomposition and impulse response analysis in favour of the traditional orthogonalised approach for studying the linkages between equity markets. The generalised approach is invariant to the order of the variables in the VAR model. Forecast error variance decomposition and impulse response analysis has been used to study the nature of the linkages between markets in the region, and the efficiency with which innovations are transmitted between the markets in the region. The Asia Pacific region is characterised by a number of markets with strong linkages. The dominant influence of the U.S. market in the region is also apparent from the results. The impulse response functions are consistent with the notion of informationally efficient equity markets in the Asia Pacific region. The analysis has been carried out on exchange rate adjusted data as well as local currency data so that the effect of exchange rate risk can be taken into account.en_US
dc.identifier.urihttp://hdl.handle.net/10179/8458
dc.language.isoenen_US
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectAsiaen_US
dc.subjectPacific Areaen_US
dc.subjectCapital marketen_US
dc.subjectMoney marketen_US
dc.subjectForeign investmentsen_US
dc.titleAn empirical analysis of the transmission of market movements : linkages between equity markets in the Asia Pacific region : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey Universityen_US
dc.typeThesisen_US
massey.contributor.authorDekker, Arieen_US
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Business Studies (M. B. S.)en_US
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