Asian Equity Markets: A Time Series Analysis of their Co-integrationJarrett JE1*, Kyper E2 and Prante G2
- *Corresponding Author:
- Jarrett JE
University of Rhode Island
Kingston, RI, USA
E-mail: [email protected]
Received Date: January 17, 2017; Accepted Date: January 23, 2017; Published Date: January 28, 2017
Citation: Jarrett JE, Kyper E, Prante G (2017) Asian Equity Markets: A Time Series Analysis of their Co-integration. Bus Eco J 8: 283. doi: 10.4172/2151-6219.1000283
Copyright: © 2017 Jarrett JE, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
This research examines the time series characteristics of stock price indices for Hong Kong, Tokyo and Singapore Equity Markets or stock exchanges during the lengthy period from before 1997, 1997 to 2007 and after 2007. Specifically, we calculate the rate of return and the volatility of return for all three markets and estimate co-movement of the three markets. We find that the average rate of return varies dramatically for the three equity markets and across time. Further, we find that stock prices are positively serially correlated in general. In the multivariate regressions, we find that there is little evidence to show that either the rate of return in certain markets universally affects the rate of return in other equity markets. We suggest based on the evidence that the three markets are co-integrated but not universally across time and with each other in pairwise dimensions. Lastly, we studied and made conclusions concerning the mean and variation in the volatility of the rates of return in the three equity markets studied.