Specification tests of a market model of Asia-Pacific stock returns: Thailand and Hong Kong

Article Abstract:

Two specification tests were applied to determine which stock return generating process, value-weighted or equally-weighted, is more efficient in developing a market model for stock returns for two Emerging Asian Stock Markets: Thailand and Hong Kong. Results of tests rejected the use of equally-weighted market returns for characterizing the market model. This indicates that value-weighted market returns are the most applicable method to use to explain individual stock returns.

Securities & Commodities Exchanges, Securities and Commodity Exchanges, Evaluation, Stocks

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A note on the stability of the intertemporal relationships between the Asian-Pacific equity markets and the developed markets: a non-parametric approach

Article Abstract:

The degree of association between equity markets in the Asia-Pacific region and the developed markets of the West is studied through the use of a non-parametric approach. Previous research on the relationship between the different stocks traded in these markets had used parametric tests. The use of the non-parametric approach leadsto new evidence indicating the strong degree of affinity between the two markets. The reasons behind this phenomenon is presented.

Finance, Industrialized countries, Financial markets, Industrial nations

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Interdependence of Asian emerging equity markets

Article Abstract:

The interdependence of emerging equity markets in Hong Kong, Korea, Malaysia, Singapore and Taiwan are examined using the Johansen multivariate cointegration model. Exchange rate fluctuations and weekly indices are integrated to improve model projections. Research showed that foreign expansion through invesments in an interdependent Asian equity market generates minimal benefits.

Economic aspects, International business enterprises, Multinational corporations, Securities industry

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