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Long run diversification potential in Asian stock markets: a test of cointegration.

by Lam Cham. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 75-79). / ACKNOWLEDGMENTS --- p.i / ABSTRACT --- p.ii / LIST OF TABLES --- p.iii / LIST OF FIGURES --- p.iv / Chapter CHAPTER 1: --- INTRODUCTION --- p.1 / Chapter CHAPTER 2: --- HISTORICAL BACKGROUND --- p.8 / Chapter 2.1 --- Financial Liberalization in Nine Asian Countries --- p.8 / Chapter 2.1.1 --- Hong Kong --- p.8 / Chapter 2.1.2 --- Korea --- p.12 / Chapter 2.1.3 --- "Indonesia, Malaysia, Singapore and Thailand - the ASEAN-4" --- p.15 / Chapter 2.1.4 --- Taiwan --- p.18 / Chapter 2.1.5 --- Japan --- p.19 / Chapter 2.1.6 --- The Philippines --- p.20 / Chapter 2.2 --- Stock Market Trend --- p.21 / Chapter CHAPTER 3: --- LITERATURE REVIEW --- p.28 / Chapter 3.1 --- Gain from International Diversification --- p.28 / Chapter 3.2 --- International Transmission Effects --- p.30 / Chapter 3.3 --- Integration of World Stock Markets --- p.31 / Chapter CHAPTER 4: --- METHODOLOGY --- p.38 / Chapter 4.1 --- Cointegration and Diversification --- p.38 / Chapter 4.2 --- Testing for Cointegration --- p.45 / Chapter CHAPTER 5: --- DATA --- p.50 / Chapter 5.1 --- MSCI Index --- p.50 / Chapter 5.2 --- Asian Funds --- p.51 / Chapter CHAPTER 6: --- EMPIRICAL RESULTS --- p.52 / Chapter 6.1 --- Unit Root Test --- p.52 / Chapter 6.1.1 --- ADF and Phillips-Perron Unit Root Test --- p.52 / Chapter 6.1.2 --- Unit Root Test with Structural Break --- p.55 / Chapter 6.2 --- Cointegration Test on Stock Markets --- p.57 / Chapter 6.2.1 --- Regional Factor Vs World Factor --- p.57 / Chapter 6.2.2 --- Integration of the Asian Markets --- p.61 / Chapter 6.3 --- Cointegration Test on the Asian Funds --- p.63 / Chapter 6.3.1 --- Weekly Results --- p.65 / Chapter 6.3.2 --- Monthly Results --- p.66 / Chapter CHAPTER 7: --- CONCLUSIONS --- p.72 / REFERENCES --- p.75

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322695
Date January 1997
ContributorsLam, Cham., Chinese University of Hong Kong Graduate School. Division of Economics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vi, 79 leaves : ill. ; 30 cm.
CoverageAsia
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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