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Asset pricing model without consumption data : an empirical study of Pacific Basin equity markets

Chou, Peter Shyan-rong; Hung, Mao-Wei; Jan, Yin-ching - In: International journal of business 4 (1999) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10001445573

Credit Buildups and the Stock Market in Four East Asian Economies

Rousseau, Peter L. - 2011

economies (Indonesia, Korea, Malaysia, and Thailand) using a series of comparative vector autoregressive and error correction …

Persistent link: https://www.econbiz.de/10013123499

Predictability of Turn-of-the-Month Effect at Stock Markets in Malaysia, South Korea and Japan

Arsad, Zainudin bin - 2017

Financial market efficiency has been constantly challenged with new evidence of calendar anomalies in the stock market. This paper examines the existence and predictability of the turn-of-the-month effect at Kuala Lumpur Composite Index (KLCI), Seoul Composite Stock Price Index (KOSPI) and Tokyo...

Persistent link: https://www.econbiz.de/10012975826

Fractal Structure of the Stock Markets of Leading Asian Countries

Gunay, Samet - 2016

In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...

Persistent link: https://www.econbiz.de/10013005468

Interdependence and Dynamic Linkages between Stock Markets of Sri Lanka and Its Trading Partners

Elyasiani, Elyas - 2016

the markets of its major trading partners (Taiwan, Singapore, Japan, South Korea, Hong Kong, India, and the US) using the …

Persistent link: https://www.econbiz.de/10013006314

What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?

Lee, Jinsoo - 2018

This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … and the U.S.) using industry-level data for Korea from 2003 to 2016 in the spirit of the international capital asset … pricing model. It also examines what drives the comovements between Korea and the three countries. We find that the …

Persistent link: https://www.econbiz.de/10012920780

What Drives the Stock Market Comovements between Korea and China, Japan and the US?

Lee, Jinsoo - 2018

This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … and the US) using the industry-level data for Korea from 2003 to 2016, in the spirit of the international capital asset … pricing model. It also examines what drives the comovements between Korea and the three countries.We find that the comovements …

Persistent link: https://www.econbiz.de/10012929624

Modelling return and nonlinear dynamics of Asia-5 markets

Sundar, Vijayalakshmi; Lazar, Daniel - In: Finance India : the quarterly journal of Indian … 34 (2020) 2, pp. 371-378

Persistent link: https://www.econbiz.de/10012669586

Asymmetric volatility transmission across Northeast Asian stock markets

Lee, Woo Suk; Lee, Hahn-shik - In: Borsa Istanbul Review 22 (2022) 2, pp. 341-351

This paper investigates various aspects of asymmetric connectedness among the stock markets in China, Japan, and Korea …

Persistent link: https://www.econbiz.de/10013184285

International spillovers into Asian stock markets under the unconventional monetary policies of advanced countries

Sugimoto, Kimiko; Matsuki, Takashi - In: Journal of the Japanese and international economies : … 52 (2019), pp. 171-188

Persistent link: https://www.econbiz.de/10012260477