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- W878262017 abstract "Original scientific paper This paper investigates the linkages between equity markets of 5 Asian countries, including Malaysia, Indonesia, the Philippines, Japan and Turkey and those in USA employing correlation analysis and Vector Auto Regressive (VAR). We used monthly data for the period 1995 ÷ 2010. The US stock markets were correlated with all Asian stock markets and Japan was correlated least strongly with the other Asian markets. The VAR results show significant multilateral returns interactions among the markets. Overall, the results show that historical returns, either own or from other stock markets, help explain market current returns. This is in contrast to weak form efficiency. Additionally, we found a significant spillover effect from the US equity market to all 5 of the Asian markets. In block exogenity test we found that USA is the most exogenous. But the influence of the US on the stock markets of Japan is relatively weak." @default.
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- W878262017 date "2014-06-24" @default.
- W878262017 modified "2023-09-23" @default.
- W878262017 title "THE STUDY OF RELATIONSHIP BETWEEN ASIAN STOCK EXCHANGES AND NEW YORK STOCK EXCHANGE" @default.
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