ارتباطات در بازار سهام در منطقه آسیا و اقیانوسیه: مقایسه روش های VAR و عمومی

This study provides an empirical analysis of the linkages between markets, and the efficiency with which innovations between markets are transmitted in the Asia Pacific region, using two competing methodologies. Specifically, this study compares the generalised approach to forecast error variance decomposition and impulse response analysis to the more traditional orthogonalised approach. The findings of this study confirm earlier studies that show the Asia Pacific region to be characterised by informationally efficient equity markets, with a number of these markets showing strong linkages. More significantly, the generalised vector autoregression (VAR) approach is shown to give more realistic results, particularly for those markets with the closest geographical and economic links.

Recently, investment in the Asia Pacific region has gained increasing attention. While early literature found evidence of considerable benefits from diversification outside domestic markets, the floating of exchange rates, the gradual removal of trade barriers, and technological advancement have all contributed to increasingly integrated markets. An implication of greater integration amongst world equity markets is stronger comovement between markets, an important concern for investors given that international diversification works best when there is little comovement between markets. The worldwide impact of the stock market crash in October 1987 highlighted how integrated markets have become. The more recent financial crisis centered in Asia (the ‘Asian Crisis’) confirmed this phenomenon. This study employs two competing methodologies to examine the comovements between 10 Asia Pacific equity markets. In relation to these equity markets, essentially two questions are addressed. To what extent are markets in the Asia Pacific region linked? What are the key linkages between these markets? How efficiently are innovations in one market transmitted to the other markets in the region? The methodologies used are the generalised approach to forecast error variance decomposition and impulse response analysis and the more traditional orthogonalised approach. The major difference between these approaches is that the orthogonalised approach is dependent on the ordering of the variables in the vector autoregression (VAR) while the generalised approach is not. Several earlier studies have used the VAR methodology to consider these questions, including Janakiramanan and Lamba (1998) who also studied Pacific Basin markets. Although the results of this study are generally consistent with earlier studies that have used the orthogonalised approach to forecast error variance decomposition and impulse response analysis, the generalised approach used in this study clarifies the nature of a number of the relationships.

The use of the newly developed generalised approach for VAR analysis used in this study has helped to more accurately reflect the nature of the linkages between markets in the Asia Pacific region. The generalised approach is shown to be superior to the orthogonalised approach for both the forecast error variance decomposition and impulse response analysis. In particular, we found that the impulse responses derived from the generalised approach allowed for more realistic interlinkages between the Australian and New Zealand markets and the Singapore and Malaysian markets than those obtained from the orthogonalised approach. Looking at the results in terms of the questions that were posed in the Introduction, the variance decomposition revealed some strong linkages between markets in the Asia Pacific region. With the exception of Taiwan, all of the markets are linked to the US market, with the US market exerting a great deal of influence. The US market itself is not influenced by any of the markets in the region. Australia and New Zealand are closely linked, while the Malaysian, Singapore, and Hong Kong markets are also closely linked. These markets are all fairly endogenous. The strong linkages between these markets indicate that markets with strong economic ties and close geographic proximity are more closely linked than more isolated markets. The Japanese market is fairly isolated, as are the emerging markets of the Philippines, Taiwan, and Thailand. The strength of some of the linkages between markets suggest that the greatest opportunity to diversify away nonsystematic portfolio risk is by investing in the more isolated emerging markets. This is generally consistent with what would be expected given the high growth phases that tend to characterise emerging markets. Turning to the question of how efficiently innovations are transmitted between markets, the results from the impulse response analysis reveal that markets in the Asia Pacific region respond to shocks with a high degree of efficiency. This result suggests that there is little scope to profit on the lag between leading and lagging markets. Again, the only opportunities appear to be in the emerging markets of the Philippines, Taiwan, and Thailand where the transmission mechanism is not quite as efficient. The problem there though, is that the size of the responses is not very large either. The results from the impulse response analysis suggest that equity markets in the Asia Pacific region are largely efficient in the transmission of new information between markets.