Evidence and explanations for the association among six Asian (Pacific-Basin) financial markets
Authors: Jarrett, Jeffrey; Sun, Zhenzhen
Source: Applied Economics, Volume 43, Number 12, May 2011 , pp. 1485-1496(12)
Abstract:We explore, explain and extend previous research on the relations between large and small stock returns in six Asian (Pacific-Basin) nations and the association among the same six Asian financial markets. Our purpose is to provide evidence of the cross-autocorrelation of stock returns in a more recent time period than analysed before by others. Evidence is brought to bear as to the theoretical explanations for stock market behaviour of Pacific-Basin nations including those with large financial markets, i.e. Japan and Hong Kong, and those with small financial markets, i.e. Thailand and Malaysia. No other study collects and analyses stock market behaviour in these nations for the recent time period. In addition, we study results from a sample of time periods and compare them. We indicate the validity of the conclusion made on studies of earlier time periods which conflict with various explanations of stock market behaviours. Relations between large and small size firms' stock returns as well as the influence of lagged returns provide the subject matter of this study.
Document Type: Research Article
Affiliations: Faculty of Management Science and Finance, University of Rhode Island, Kingston, RI 02881, USA
Publication date: 2011-05-01