Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10477520 | Journal of International Financial Markets, Institutions and Money | 2005 | 16 Pages |
Abstract
This paper examines stock market linkages of a group of Pacific-Basin countries with US and Japan by estimating the multivariate cointegration model in both the autoregressive (AR) and moving average (MA) forms over the period 1980-1998. Recursive estimation helps identify the evolution of the linkages. The results for the 1980s indicate that the relaxation of foreign ownership restrictions was not sufficient to attract foreign investors' attention and that other factors must have affected the portfolio diversification decision. The results of the 1990s suggest that the relaxation of the restrictions might have strengthened international market interrelations. Country Funds have provided access to highly regulated capital markets.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kate Phylaktis, Fabiola Ravazzolo,