Discussing relationship between Asian and us financial markets

Abstract

This paper analyses the relationship between Asia's stock markets with US main stock indices. The study focuses on the stock interaction and informative transmission among of nine stock markets in Asia (Japan, Hong Kong, Indonesia, South Korea, Malaysia, Philippines, Singapore, Thailand and Taiwan) and three stock markets in US (Dow Jones, NASDAQ and S&P500). The collected weekly data is from Inform Winner Plus 2000 and the study period is from the first week of January 1990 to last week of June 2007. This empirical study adopts different econometric methods such as ADF unit root, cointegration test, vector error correction model, an impulse response function and Granger Causality to find out what kind of relations exist between Asian and US financial markets. © 2012 Springer-Verlag Berlin Heidelberg.