This paper applies a variety of short-run and long-run time series techniques to data on a broad group of Asia-Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia-Pacific...

This paper applies a variety of short-run and long-run time series techniques to data on a broad group of Asia-Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia-Pacific...

We investigate the international transmission of the credit crisis triggered by the Lehman default in September 2008 using Japan's stock market data. Using cumulative returns (CR) during the crisis, starting from the day of Lehman's default and lasting until the day prior to the news of the TARP...