区隔市场或整合市场?亚洲股市与美国及日本股市的实证研究.pdf

区隔市场或整合市场?亚洲股市与美国及日本股市的实证研究.pdf

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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