International Financial Market Integration: AN Examination of Six Stocks Markets

Omar Marashdeh

Abstract


ABSTRACT

The recent daily data (Jan. 1, 1990 - July, 22,1992) of six stock markets namely, Japan, Hong Kong, Malaysia, Australia, the US, and the UK were used in this study to examine the degree of integration of these markets by
using simple correlation and multiple regression analysis. The study found that Hong Kong has a higher degree of integration with all markets. The US market has a low degree of integration with all markets. UK is influenced by
informational flow from the US, Japan, and Hong Kong. Malaysian market is influenced by informational flow from the US, Japan, and Hong Kong. Japan is influenced by Informational flow from Australia, the UK, Malaysia,
and Hong Kong. Australia is affected by informational flow from the US, the UK, Japan, and Hong Kong. Hong Kong and Japan influence all these six markets except the US The US market leads the four Asian-Pacific markets
(Malaysia, Japan, Hong Kong, and Australia) and contemporarily influences the UK Asian-Pacific markets do not influence the us market. Asian-Pacific markets show a higher degree of integratiOn with each other The relationship between the six stock markets are stable as shown by the Chow test.

ABSTRAK
Data harian terkini (1 Januari 1990 hingga 22 Julai 1992) enam pasaran saham iaitu Jepun, Hong Kong, Malaysia, Australia, US dan UK digunakan dalam kajian ini untuk menelitl darjah integrasi antara pasaran-pasaran ini
dengan menggunakan kaedah korelasi ringkas dan analisis regresi berbilang. Kajian ini mendapati Hong Kong mempunyai darjah integrasi yang tinggi dengan pasaran yang lain. Pasaran Amerika mempunyai darjah integrasl
yang rendah dengan kesemua pasaran. Pasaran UK dipengaruhl oleh aliran maklumat dan US, Jepun, dan Hong Kong. Pasaran Malaysia dipengaruhi oleh aliran maklumat dan US, Jepun, dan Hong Kong. Jepun dipengaruhi oleh aliran maklumat dan Australia, UK, Malaysia dan Hong Kong. Australia dipengaruhi oleh aliran maklumat dan US, UK, Jepun dan Hong Kong. Hong Kong dan Jepun mempengaruhi kesemua enam pasaran kecuali US Pasaran US mendahulUi empat pasaran Asia-Pasifik (Malaysia, Jepun, Hong Kong
dan Australia) dan mempengaruhi UK secara sama masa. Pasaran Asis Pasifik tidak mempengaruhi pasaran US Pasaran Asia-Pasifik menunjukkan darjah integrasl yang tinggi antara satu sama lain. Perhubungan antara enam pasaran saham didapati stabil mengikut ujian Chow


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