An empirical analysis on the influence of the United States and China on major Asian markets.
The fall in major stock markets on 27 February 2007, triggered by China, has raised questions about the growing influence of the latter. Working with weekly stock returns for the period between 1994 and 2007, this paper investigates the influence of the markets of the United States (U.S.) and China,...
| Main Authors: | , , |
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| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/10537 |
| _version_ | 1811683675815804928 |
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| author | Hoon, Valerie Pei Wen. Low, Jasmine Yu Ting. Tan, Fiona Pei Jia. |
| author2 | Leon, Chuen Hwa |
| author_facet | Leon, Chuen Hwa Hoon, Valerie Pei Wen. Low, Jasmine Yu Ting. Tan, Fiona Pei Jia. |
| author_sort | Hoon, Valerie Pei Wen. |
| collection | NTU |
| description | The fall in major stock markets on 27 February 2007, triggered by China, has raised questions about the growing influence of the latter. Working with weekly stock returns for the period between 1994 and 2007, this paper investigates the influence of the markets of the United States (U.S.) and China, and changes in their relationships with the following states/regions: Japan, Singapore, Hong Kong and Taiwan. Forecast-error variance decomposition (FEVD) tests reveal that with the exception of Hong Kong, the influence of the U.S. on the other markets has not declined. There is also increasing influence from China on all the markets, particularly after 2002. Granger-causality tests on the U.S.’s Standard and Poor’s 500 index (S&P 500) and China’s Shanghai A-share market show that the U.S. is the main driver of our sample markets, having significant Granger-causality with the markets of Singapore, Hong Kong, China and Taiwan. There is increasing Granger-causality transmitting from Shanghai A-share to S&P 500. The A-share market also Granger-caused the Taiwan Weighted Index, but the influence has decreased after 2001. |
| first_indexed | 2024-10-01T04:16:31Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/10537 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T04:16:31Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/105372023-05-19T05:41:35Z An empirical analysis on the influence of the United States and China on major Asian markets. Hoon, Valerie Pei Wen. Low, Jasmine Yu Ting. Tan, Fiona Pei Jia. Leon, Chuen Hwa Nanyang Business School DRNTU::Business::International business::International economic relations The fall in major stock markets on 27 February 2007, triggered by China, has raised questions about the growing influence of the latter. Working with weekly stock returns for the period between 1994 and 2007, this paper investigates the influence of the markets of the United States (U.S.) and China, and changes in their relationships with the following states/regions: Japan, Singapore, Hong Kong and Taiwan. Forecast-error variance decomposition (FEVD) tests reveal that with the exception of Hong Kong, the influence of the U.S. on the other markets has not declined. There is also increasing influence from China on all the markets, particularly after 2002. Granger-causality tests on the U.S.’s Standard and Poor’s 500 index (S&P 500) and China’s Shanghai A-share market show that the U.S. is the main driver of our sample markets, having significant Granger-causality with the markets of Singapore, Hong Kong, China and Taiwan. There is increasing Granger-causality transmitting from Shanghai A-share to S&P 500. The A-share market also Granger-caused the Taiwan Weighted Index, but the influence has decreased after 2001. 2008-09-24T07:44:43Z 2008-09-24T07:44:43Z 2008 2008 Final Year Project (FYP) http://hdl.handle.net/10356/10537 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::International business::International economic relations Hoon, Valerie Pei Wen. Low, Jasmine Yu Ting. Tan, Fiona Pei Jia. An empirical analysis on the influence of the United States and China on major Asian markets. |
| title | An empirical analysis on the influence of the United States and China on major Asian markets. |
| title_full | An empirical analysis on the influence of the United States and China on major Asian markets. |
| title_fullStr | An empirical analysis on the influence of the United States and China on major Asian markets. |
| title_full_unstemmed | An empirical analysis on the influence of the United States and China on major Asian markets. |
| title_short | An empirical analysis on the influence of the United States and China on major Asian markets. |
| title_sort | empirical analysis on the influence of the united states and china on major asian markets |
| topic | DRNTU::Business::International business::International economic relations |
| url | http://hdl.handle.net/10356/10537 |
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