An empirical investigation into the trading relationships between Asian stock markets and selected advanced equity markets

The study investigates the interdependence of the stock markets in the following countries; Hong Kong, Japan, Korea, Taiwan, Indonesia, Malaysia, Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany and the United States. Using data from 1994 to 2003 the paper employs both correlation, causality and co-integration analysis to describe the behaviour of the above stock market indices over the period pre and post the 1997 Asian Financial Crises. The research provides answers to the following questions. Firstly, what are the short run relationships between each of the Asian markets and the relationship between these markets and the markets of advanced industrial nations? Secondly, what are the dynamic long-run relationships between the above Asian equity markets and advanced markets? Thirdly, have the expected benefits to a foreign investor from the US or Australia investing in Asian equity markets changed since the Asian financial crisis of 1997.