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Research Article Open Access
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.
Time series, Financial indices, Volatility, Correlation, Hang Seng, Tokyo and Singapore equity markets, Accounting Review, International Business, Indexation, Profitability, Time Series, Panel Data, Empirical Analysis, Stock Market Returns, Human Capital, Monetary Policy , Small Firms, Business Cycle, Banking Research Studies, Capital Structure, Economics Studies, Financial plan, Fiscal and tax policies , Avenues of Investment, Wealth Management, Business Theory, Organizational studies, Parameter Estimation