Comovements in Asia-Pacific equity markets: Developing patterns in APEC

Abstract

This paper examines the short-run and long-run price linkages among Asia-Pacific Economic Cooperation (APEC) equity markets over the period 1995 to 2000. The results indicate that there is a stationary long-run relationship and significant short-run causal linkages among the APEC equity markets. Australasian, Northern Asian and South American markets are relatively more influenced by domestic market conditions; North American markets relatively more by regional factors; and Southern Asian markets more strongly influenced by markets outside either their own or geographical close domestic markets.