Dynamic Linkages among Foreign Exchange, Stock, and Commodity Markets in Northeast Asian Countries: Effects from Two Recent Crises
DOI:
https://doi.org/10.6000/1929-7092.2013.02.21Keywords:
Financial market, Financial contagion, Hong test, Northeast Asian countriesAbstract
This paper investigates the interaction among the foreign exchange, stock, and commodity markets of Northeast Asian countries according to the cross-correlation function (CCF) approach. We analyze the impact of the global financial crisis and the European sovereign crisis on the financial market interactions of Japan, South Korea, and Taiwan. The empirical results show that financial markets in different countries show different causality relationships. While interactions in both mean and variance are relatively strong in Japanese financial markets, they are relatively weak in Korean markets. We cannot find any financial market interactions in Taiwan.References
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http://dx.doi.org/10.1016/j.eneco.2009.05.016
Basher, Syed Abul, Haug, Alfred A., and Sadorsky, Perry. 2012. “Oil prices, exchange rates and emerging stock markets.” Energy Economics 34(1):227-40.
http://dx.doi.org/10.1016/j.eneco.2011.10.005
Bhar, Ramaprasad and Hamori, Shigeyuki. 2005. “Causality in variance and the type of traders in crude oil futures.” Energy Economics 27(3):527-39.
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Bhar, Ramaprasad and Hamori, Shigeyuki. 2008. “Information content of commodity futures prices for monetary policy.” Economic Modelling 25(2):274-83.
http://dx.doi.org/10.1016/j.econmod.2007.06.006
Chaban, Maxym. 2009. “Commodity currencies and equity flow.” Journal of International Money and Finance 28(5):836-52.
http://dx.doi.org/10.1016/j.jimonfin.2008.08.004
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http://dx.doi.org/10.1016/0304-4076(94)01714-X
Dickey A. David and Fuller A. Wayne. 1979.“Distribution of the estimators for autoregressive time series with a unit root.” Journal of the American Statistical Association74(366): 427-31.
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Dickey A. David and Fuller A. Wayne. 1981. “Likelihood ration statistics for autoregressive time series with a unit root.” Econometrica 49(4): 1057-72.
http://dx.doi.org/10.2307/1912517
Engle F. Robert. 1982. “Autoregressive conditional heteroscedastic models with estimates of the variance of inflation in the United Kingdom inflation.” Econometrica 50(4): 987-1007.
http://dx.doi.org/10.2307/1912773
Engle F. Robert and Granger C. W. J. 1987. “Co-integration and error correction: Representation, estimation, and testing.” Econometrica 55(2):251-76.
http://dx.doi.org/10.2307/1913236
Hamao, Yasushi, Ronald W. Masulis, and Victor Ng. 1990. “Correlation in price changes and volatility across international stock markets.” Review of Financial Studies3(2): 281-307.
http://dx.doi.org/10.1093/rfs/3.2.281
Hamori, Shigeyuki. 2003. An empirical investigation of stock market: The CCF approach. New York: Springer.
http://dx.doi.org/10.1007/978-1-4419-9208-6
Hamori, Shigeyuki and Imamura, Yoriko. 2000. “International transmission of stock prices among G7 countries: LA-VAR approach.” Applied Economics letters 7(9): 613-18.
http://dx.doi.org/10.1080/13504850050059113
Harald, Hau and Hélène, Rey. 2006. “Exchange rates, equity prices, and capital flows.”Review of Financial Studies 19(1): 273-17.
Miyazaki, Takashi and Hamori, Shigeyuki. 2013. “Testing for causality between the gold return and stockmarket performance: evidence for ‘gold investment incase of emergency.’” Applied Financial Economics 23(1): 27-40.
http://dx.doi.org/10.1080/09603107.2012.699184
Mun, Kyung-Chun. 2012. “The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data.” Journal of Banking and Finance 36(2): 383-94.
http://dx.doi.org/10.1016/j.jbankfin.2011.07.014
Nelson, Daniel B. 1991. “The conditional heteroskedasticity in asset returns: A new approach.” Econometrica 59(2): 347-70.
http://dx.doi.org/10.2307/2938260
Toyoshima, Yuki, Tamakoshi, Go, and Hamori, Shigeyuki. (2012). “Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market.” Journal of International Financial Markets, Institutions and Money 22(2): 381-94.
http://dx.doi.org/10.1016/j.intfin.2011.12.002
Xu, Haifeng and Hamori, Shigeyuki. 2012. “Dynamic linkages of stock prices between the BRICS and the United states: Effects of the 2008-2009 financial crisis.” Journal of Asian Economics 23(4): 344-52.
http://dx.doi.org/10.1016/j.asieco.2012.04.002
http://dx.doi.org/10.1016/j.eneco.2009.05.016
Basher, Syed Abul, Haug, Alfred A., and Sadorsky, Perry. 2012. “Oil prices, exchange rates and emerging stock markets.” Energy Economics 34(1):227-40.
http://dx.doi.org/10.1016/j.eneco.2011.10.005
Bhar, Ramaprasad and Hamori, Shigeyuki. 2005. “Causality in variance and the type of traders in crude oil futures.” Energy Economics 27(3):527-39.
http://dx.doi.org/10.1016/j.eneco.2004.12.003
Bhar, Ramaprasad and Hamori, Shigeyuki. 2008. “Information content of commodity futures prices for monetary policy.” Economic Modelling 25(2):274-83.
http://dx.doi.org/10.1016/j.econmod.2007.06.006
Chaban, Maxym. 2009. “Commodity currencies and equity flow.” Journal of International Money and Finance 28(5):836-52.
http://dx.doi.org/10.1016/j.jimonfin.2008.08.004
Cheung, Yin-Wong and Ng, Lilian K. 1996. “A causality-in-variance test and its application to financial markets prices.” Journal of Econometrics 72(1): 33-48.
http://dx.doi.org/10.1016/0304-4076(94)01714-X
Dickey A. David and Fuller A. Wayne. 1979.“Distribution of the estimators for autoregressive time series with a unit root.” Journal of the American Statistical Association74(366): 427-31.
http://dx.doi.org/10.2307/2286348
Dickey A. David and Fuller A. Wayne. 1981. “Likelihood ration statistics for autoregressive time series with a unit root.” Econometrica 49(4): 1057-72.
http://dx.doi.org/10.2307/1912517
Engle F. Robert. 1982. “Autoregressive conditional heteroscedastic models with estimates of the variance of inflation in the United Kingdom inflation.” Econometrica 50(4): 987-1007.
http://dx.doi.org/10.2307/1912773
Engle F. Robert and Granger C. W. J. 1987. “Co-integration and error correction: Representation, estimation, and testing.” Econometrica 55(2):251-76.
http://dx.doi.org/10.2307/1913236
Hamao, Yasushi, Ronald W. Masulis, and Victor Ng. 1990. “Correlation in price changes and volatility across international stock markets.” Review of Financial Studies3(2): 281-307.
http://dx.doi.org/10.1093/rfs/3.2.281
Hamori, Shigeyuki. 2003. An empirical investigation of stock market: The CCF approach. New York: Springer.
http://dx.doi.org/10.1007/978-1-4419-9208-6
Hamori, Shigeyuki and Imamura, Yoriko. 2000. “International transmission of stock prices among G7 countries: LA-VAR approach.” Applied Economics letters 7(9): 613-18.
http://dx.doi.org/10.1080/13504850050059113
Harald, Hau and Hélène, Rey. 2006. “Exchange rates, equity prices, and capital flows.”Review of Financial Studies 19(1): 273-17.
Miyazaki, Takashi and Hamori, Shigeyuki. 2013. “Testing for causality between the gold return and stockmarket performance: evidence for ‘gold investment incase of emergency.’” Applied Financial Economics 23(1): 27-40.
http://dx.doi.org/10.1080/09603107.2012.699184
Mun, Kyung-Chun. 2012. “The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data.” Journal of Banking and Finance 36(2): 383-94.
http://dx.doi.org/10.1016/j.jbankfin.2011.07.014
Nelson, Daniel B. 1991. “The conditional heteroskedasticity in asset returns: A new approach.” Econometrica 59(2): 347-70.
http://dx.doi.org/10.2307/2938260
Toyoshima, Yuki, Tamakoshi, Go, and Hamori, Shigeyuki. (2012). “Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market.” Journal of International Financial Markets, Institutions and Money 22(2): 381-94.
http://dx.doi.org/10.1016/j.intfin.2011.12.002
Xu, Haifeng and Hamori, Shigeyuki. 2012. “Dynamic linkages of stock prices between the BRICS and the United states: Effects of the 2008-2009 financial crisis.” Journal of Asian Economics 23(4): 344-52.
http://dx.doi.org/10.1016/j.asieco.2012.04.002
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Published
2013-07-15
How to Cite
Yang, L., & Hamori, S. (2013). Dynamic Linkages among Foreign Exchange, Stock, and Commodity Markets in Northeast Asian Countries: Effects from Two Recent Crises. Journal of Reviews on Global Economics, 2, 278–290. https://doi.org/10.6000/1929-7092.2013.02.21
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