RESPONSE ASYMMETRIES IN HONG KONG, SINGAPORE, TAIWAN, AND THAILAND EQUITY MARKETS: DOES TIME PERIOD MATTER?
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We use the price indices offour Asian emerging stock markets (Hang Seng Index for Hong Kong, the Straits Times Index for Singapore, the Weighted Index for Taiwan, Bangkok S.E.Tfor Thailand), and compare their petformance with the S&P 500 Composite for the US., and the Nikkei 225 Stock Average for Japan to test the response asymmetry of emerging stock markets to stock markets in developed countries. We use several time spans to examine whether the results are consistent over time and conclude that there is response asymmetry between Asian stock markets and the US. and Japan markets over the long run but not in the short run.
Abstract
We use the price indices offour Asian emerging stock markets (Hang Seng Index for Hong Kong, the Straits Times Index for Singapore, the Weighted Index for Taiwan, Bangkok S.E.Tfor Thailand), and compare their petformance with the S&P 500 Composite for the US., and the Nikkei 225 Stock Average for Japan to test the response asymmetry of emerging stock markets to stock markets in developed countries. We use several time spans to examine whether the results are consistent over time and conclude that there is response asymmetry between Asian stock markets and the US. and Japan markets over the long run but not in the short run.