This paper examines stock market linkages of a group of Pacific-Basin countries with U.S. and Japan by estimating the multivariate cointegration model in both the autoregressive and moving average forms over the period 1980-1998. Recursive estimation helps identify the evolution of the linkages....

We study the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets. We apply the analysis to a group of Pacific Basin countries and examine whether foreign exchange controls and the Asian financial crisis...

The paper develops an international capital asset pricing model, which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only...

This paper examines the financial links of a group of Pacific-Basin countries with U.S. and Japan by estimating the multivariate cointegration model in both the autoregressive and moving average forms over the period 1980-1998. The former allows us to examine the long-run relationships of these...