In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country‟s stock price series into sub-samples and investigate...

The aim of this paper is to examine the impact of US macroeconomic conditions - namely, exchange rate and short-term interest rate - on the stocks of seven Asian countries (China, India, the Philippines, Malaysia, Singapore, Thailand, and South Korea). Using daily data for the period 2000 to...

This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations between markets have implications for the gains...