| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 92 === The 1990s has witnessed several times of financial crises, which result in considerable loss on investors. However, investors’ passion for global emerging markets does not fade away even with these damages. The main reason is that emerging markets can provide much higher rate of return, in contrasting to developed markets. This study aims to explore the emerging market interrelationships between Latin American and Asia. The period under investigation covers from January 1st, 1994 to December 31st ,2003. The samples of daily market index return are collected in terms of the major three Latin American markets (i.e. Argentina, Brazil, and Mexico) and the Little-Four- Dragon markets (i.e. Taiwan, Korea, Singapore, and Hong Kong). We adopt the Granger Causality Test and Vector Autoregressive (VAR) model to investigate the return interrelationship of these emerging stock markets. The main research results are:
1. As evidenced by the Granger Causality Test, Mexico market is the leading actor in Latin America, and Singapore plays the same role in Asia. In general, it is notable that the three major Latin America markets lead the Little-Four-Dragon markets.
2. The impulse response analysis shows that every country market is most impacted by itself, and the secondary one with impulse needs to be paid attention. In addition, the responses to returns of every market index tend to converge to zero until the time lag of three or four.
3. As shown in the decomposition of variances, every country is impacted most by its own explained return variance at time 1. The explained ratio of Mexico is the highest among others, highlighting that Mexico market has is most exogenous, and not so impacted by other country as the rest.
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