Academy Papers 19
95 19-47
Segmented Market or Integrated Market? Evidence from the Stock
Markets of Four Pacific Basin Countries
Shyh-Wei Chen Hui-Ju Lin
Department of Economics, Tunghai University Department of Economics, Tunghai University
255
McDonald (1973)
JEL C32, G15
*
** 3 181 TEL (04) 2359-0121#2922 E-mail schen@.tw
shyhwei.chen@
20 95 12
Review of Financial Risk Management
Abstract
This paper reexamines the patterns of dynamic linkages among national stock prices of four Pacific
Rim countries, that is, South Korea, Hong Kong, Malaysia and Thailand, with the leading stock markets,
i.e., the U.S and Japan. The analysis employs recent time series techniques, i.e., the unit root test with and
without break, cointegration test and generalized impulse response (GIRF) function and generalized
variance decomposition function (GFED) to accomplish the study. Empirical results show that there is no
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