An important assumption underlying traditional theories of financial time-series behaviour is that consecutive changes in the price of an asset (ie. asset returns) are independent of each other. For analysts seeking to predict the future value of an asset, this implies that the best step-ahead...

The study investigates the interdependence of the stock markets in the following countries; Hong Kong, Japan, Korea, Taiwan, Indonesia, Malaysia, Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany and the United States. Using data from 1994 to 2003 the paper...