The Sudy of the Interrelationships of the United States, the United Kingdom, Japan, Germany, France, and the Asia-Pacific Emerging Stock Market

• Main Authors: Wang, Chun-Ju, 王淳儒
• Other Authors: Shyu Jon-Chi
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/43504574367199088607

碩士 === 中國文化大學 === 國際企業管理研究所 === 86 === The Asia-Pacific stock markets rose abruptly in early 80'' with their rapideconomics growth and became a focus of investors. The requirement of investorsthat want to invest the stocks in international markets increased day by day, sothe analysis and compare of the international stock markets will make theinvestors understood the international stock markets more clearly. This thesisexamines the correlations, interdependencies, and lead-lag relationships amongstock price indices of the United States, the United Kingdom, Japan, Germany,France, and the Asia-Pacific Emerging Stock Market. An empirical investigationapplying vector-autoregression (VAR) analysis is conducted by using daily dataon the stock market indices from January 5, 1993 through December 31, 1997. The empirical analysis shows that the United States market leads all theother twelve markets, while none of these other countries leads the U.S. market.The results indicate that the U.S. market can be used as a leading indicator forthe other financial markets. According to impulse response analysis and forecast error variancedecomposition of the thirteen stock markets, the U.S. market is found to be themost influential in the world. Taiwan market is less affected by internationalfactors. The status of Hong Kong market has promoted. Also, the dynamic responsepattern supports the notion of informationally efficient international stockmarkets. International factors and its own national factors affect each of thenational stock markets. This implies the international stock markets are weaklysegmented. In addition, correlations among returns to nation stock markets arelow, which supports the fact that the risk of investment portfolio can bereduced by international diversification.