Cha, Baekin; Cheung, Yan-leung - In: Asia-Pacific Financial Markets 5 (1998) 3, pp. 191-209
Using a tri-variate vector autoregression model, we study the relationships between the four Asian emerging equity markets: Hong Kong, Korea, Singapore and Taiwan, and the two largest equity markets in the world: U.S. and Japan. We find that while most of the unexpected variations in stock...