تجزیه و تحلیل دامنه فرکانس قبل و سقوط پس از 1987 میان بازارهای سهام در حاشیه اقیانوس آرام

This paper uses the method of cross spectral analysis to examine pre- and post-1987 crash comovements among several Pacific Rim markets. The results support increased post-crash comovements among the markets. Each of the pairwise median coherences was greater in the post-crash period. The same is true for the post-crash mean coherences, with one exception. The nonparametric Wilcoxon Z statistics indicate that the pre- and post-crash coherences were drawn from different populations in seven of the eight pairwise market comparisons. Phase lead results indicate that the post-crash phase leads in four of the eight pairwise comparisons were smaller than in the pre-crash period, while post-crash phase leads did not fall in any of the market comparisons.

Increased world trade has intensified the interest in the integration of world equity markets. Along with increased trade, increases in communications and capital flows have contributed to the globalization of business activity. It has long been a tenet of investment that international diversification can reduce risk in portfolios. Increasing equity market integration tends to reduce this diversification, reducing the benefit of reduced risk. The question is, ‘Are equity market movements around the world disparate enough to provide the diversification benefit?’ Even though trade, communications, and capital flows have tended to make the world ‘smaller’, to what extent is international equity diversification a benefit to investors? There are now many articles, using differing methods, which examine the comovement of equity markets around the world. One of the most used methods is the ARCH/GARCH family of models, which test for volatility spillovers. Darbor and Deb (1997) used bivariate GARCH models (December 1989 through December 1992) to conclude that each bivariate pair (Japan/Canada, UK/Canada, US/Canada, UK/Japan, US/Japan, UK/US) of markets showed evidence of ‘transitory correlation’. Only the US/Japan pair indicated a lack of ‘permanent correlation’. Employing the trivariate EGARCH model, Koutmos and Booth (1995) found price spillovers from New York to Tokyo and London, and from Tokyo to London. Susmel and Engle (1994) used a bivariate ARCH model with hourly data and found volatility spillovers last, ‘only an hour or so’. Theodossiou and Lee (1993) employed the multivariate GARCH-M model to find volatility spillovers among a subset of five markets (US, UK, Canada, Germany, and Japan) from January 1980 to December 1991. Hamao et al. (1990) used a trivariate GARCH model with daily data (April 1985 to March 1988) to test for volatility spillovers from New York, London, and Tokyo. They presented evidence of volatility linkages. Booth et al. (1997) employed a trivariate VAR to investigate volatility spillovers in US, UK, and Japanese equity index futures markets. These results indicated that volatility in the US and UK markets is a reaction to shocks from the other markets, supporting the argument that these markets are becoming more interdependent. The Japanese stock index futures markets appear somewhat more isolated. Other methods, which focus on price spillovers, have been used as well to study market linkages. Koch and Koch (1991) estimated an eight market (Japan, Australia, Hong Kong, Singapore, Switzerland, West Germany, UK, and the US) simultaneous equations model for three separate years: 1972, 1980, and 1987. They found evidence of, ‘several clusters of markets that display substantive interaction on the same day’. Brocato (1994) estimated six market (US, UK, Canada, Germany, Hong Kong, and Japan) VARs: one for the early 1980s and another for the latter years of the 1980s. His variance decompositions yielded many linkages among these markets, with the US role diminishing post-March 1984. Eun and Shim (1989) estimated a nine market (US, UK Canada, France, Germany, Switzerland, Hong Kong, Japan, and Australia) VAR and concluded that a substantial amount of ‘interdependence’ existed among these markets: 1980–1985. A further issue is the temporal nature of diversification. Do benefits from diversification accrue to international investors in the short term or is diversification a long run concept? Taylor and Tonks (1989) employed cointegration analysis to conclude that low correlation among equity markets occurs in the ‘short term’. Meric and Meric (1989) compared correlation matrices of international equity markets to test for intertemporal stability. Tests were performed which compared the pairwise correlation matrices of nine adjacent 1.5-year subperiods for 17 countries. The tests were also conducted for four adjacent 3-year and two adjacent 5-year subperiods. The final test compared the correlation matrices for two 7.5-year subperiods. They rejected the null hypothesis that correlation matrices are the same over shorter periods (1.5- and 3-year subperiods), but were not able to reject that the longer term (5- and 7.5-year subperiods) correlation matrices are the same. In both of these studies, longer term comovements were more correlated, making diversification more applicable in the near term. The results reported below, using cross spectral analysis, lend support to this conclusion. Institutional changes made following the crash period make 1987 a breakpoint from which pre- and post-crash observations can be compared. Lindsey and Pecora (1998) detailed the domestic regulatory changes to make the markets more efficient. Internationally, markets around the world have recognized the need for greater coordination in regulation and have taken steps to ensure cooperation. Accordingly, there are several papers which use this breakpoint to compare pre- and post-1987 crash comovements. Masih and Masih (1997) employed a battery of tests to determine if comovements increased in the post-1987 period. They reported, using Granger causality tests, that since the crash the US market has led other markets (Canada, UK, Germany, France, and Japan). Their vector error correction model and variance decomposition tests indicated that the German and UK markets have become more dependent on shocks from other markets in the post-crash period. Arsanapalli and Doukas (1993) used cointegration tests to show that comovements among UK, German, French, and Japanese markets increased post-1987. Jeon and Von Furstenburg (1990) employed a four market (US, UK, German, and Japan) VAR analysis to conclude that, ‘The degree of international comovements in stock price indexes has increased significantly since the crash of October 1987’. Most of the above studies used time series methods to investigate market comovements. Granger and Morgenstern (1970) were the first researchers to apply frequency domain methods to comovements among equity markets. Hilliard (1979) estimated mean coherences among ten markets (US, Amsterdam, Frankfurt, London, Milan, Paris, Sydney, Tokyo, Zurich, and Toronto). He concluded that ‘intra-continental’ prices moved together, with little ‘inter-continental’ comovements. Fischer and Palasvirta (1990) were the first to apply these methods to pre-/post-1987 crash data. They used frequency domain analysis to test for increasing interdependence. They concluded that, ‘the level of interdependence, as evidenced by the co-movement of index prices in the world's stock markets, has grown substantially from 1986 to 1988’. These results are based on a very short sample period (1986–1988). Specifically, their Table 2 compared mean coherences between the 23 markets and a constructed world index. Twenty-two of the 23 mean coherences were higher in 1988 when compared to mean coherences of 1986. Both years contained only about 250 daily observations. Furthermore, 22 of the 1987 mean coherences were greater than the 1988 mean coherences. Malliaris and Urrutia (1992) have shown that Granger causality increased during the month of October 1987, with a lack of correlation for the four month periods immediately before and after the crash. These results beg an interesting question. If longer pre- and post-crash samples are used, would the lack of causality continue to hold? Smith et al. (1993) have shown that, using a rolling Granger causality test, somewhat greater causality existed after the crash (their sample ends in June 1991). Even more high frequency data are now available to study the issue of both pre- and post-crash comovements. Smith (1999) used cross spectral analysis along with a longer sample period. He found increased coherence among six major equity markets, particularly among the three European markets studied (UK, Germany, and France). Most pre-/post-crash research described above has focused on the G-7 (or a subset of the) markets (e.g. see Darbor and Deb (1997), Masih and Masih (1997) and Smith (1999)).1 It is the purpose of this paper to investigate these pre-/post-correlations for Pacific Rim markets. This study includes two markets that are not part of the Group of Seven. Cross spectral analysis is applied to eight pairwise combinations of coherence and phase leads from data for Australia and Hong Kong, as well as the US, Canada, and Japan.

Several studies have examined the comovement of equity markets. Greater comovement reduces the benefit to the investor from international diversification of portfolios. A number of methods (testing both price and volatility spillovers) have been used in these studies, from Granger causality tests, to VARs, to cointegration analysis, to volatility models (GARCH/EGARCH). In the literature, the October 1987 crash seems to be a convenient breakpoint from which to compare pre- and post-crash comovements among the markets. One result from this paper is that the benefits from diversification are more likely to accrue to international investors at high frequencies (shorter periods). Both techniques used, coherence and phase leads, show that diversification is a short term concept. However, although coherence increases at longer frequencies, the peak coherence is only in the range of 0.3–0.5 (see Table 2) indicating that some diversification benefits may still be realized. The phase lead results also indicate that the benefits of diversification are more of a short term phenomenon. This paper uses the method of cross spectral analysis to examine pre- and post-crash comovements among several Pacific Rim markets. The results support increased post-crash comovements among the markets. Each of the pairwise median coherences was greater in the post-crash period. The same is true for the post-crash mean coherences, with one exception. In support of this conclusion, the nonparametric Wilcoxon Z statistics indicate that the pre- and post-crash coherences were drawn from different populations in seven of the eight pairwise markets comparisons. Thus, the cross spectral results for the Pacific Rim markets are consistent with previous research, using various methods (see Jeon and Von Furstenburg, 1990, Arsanapalli and Doukas, 1993, Masih and Masih, 1997 and Smith, 1999) in finding increased comovements among world equity markets. The robustness of this claim is strengthened when various methods reach the same conclusion. Pacific Rim equity markets are becoming increasingly interdependent. As trade increases, costs of communication fall, capital flows become less restrictive, and market interdependence appears to rise. The implication of this research is that benefits to investors from international diversification may not be as great today as in previous periods. Of course, this research does not suggest that there is no longer any benefit to such diversification.