Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan

By Suk-Joong Kim. 2005

115 citations recorded by the source corpus.

This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the U.S and the information leadership of the U.S. and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the U.S. and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the U.S. were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c1af135707d565565b205cd6deef2c4a5332fd94

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