EMPIRICAL STUDY ON THE IMPACTS OF MAJOR EVENTS INTER-MARKET RELATIONSHIPS IN ASIA

Abstract

This study examines the effects of major economic and financial events on the relationships between stock markets in Asia. The empirical findings show the following: 1) daily returns have not been stable, but the inter-market relationships have been stable; 2) NAFTA and 9-11 Incident events had minimal impacts on inter-market relationships; 3) the markets became more integrated after the Mexican peso crisis and the Asian economic crisis. and 4) the correlations between stock markets had not significantly increased during this period. Since there have not been observed any significant changes in the inter-market relationships after these events, there still exist much diversification benefits to be exlploited in Asia