رهبری اطلاعات در بازارهای پیشرفته سهام آسیا و اقیانوس آرام: بازده، نوسانات و حجم سرریز اطلاعات از ایالات متحده و ژاپن

This paper investigates the nature of the stock market linkages in the advanced Asia–Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the US and the information leadership of the US and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the US and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the US were found in all the Asia–Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific. J. Japanese Int. Economies19 (3) (2005) 338–365.

The existence of financial market linkages amongst advanced equity markets is well documented. Numerous researchers find significant contemporaneous return correlations which is not surprising considering the implications of international capital asset pricing models. In addition, dynamic market interdependences which indicate causal relationships were also investigated by many researchers who report significant price and volatility spillovers between advanced markets (inter alia Hamao et al., 1990, Theodossiou and Lee, 1993, Koutmos and Booth, 1995, Connolly and Wang, 2000 and Bae et al., 2000). A common finding in these studies is the role of the US market in leading other major markets. In addition to return and volatility spillovers, the information content of the US trading volume had a significant causal influence in other markets (for example, see Lee and Rui, 2002).1 These contemporaneous and dynamic inter-market linkages intensified after the 1987 global stock market crash. Arshanapalli and Doukas (1993), among others, find enhanced market linkages with increasing US influence on French, German and the UK markets for the post-crisis period. However, the literature reports a negligible role of the Japanese market in information leadership, despite the Japanese stock market being world's second largest, and an absence of significant market linkages between Japan and other major markets of the US and Western Europe.2 Asia–Pacific financial markets also exhibit significant and growing interdependence. The increasing regionalisation of economic activities since the mid-1980s and the liberalisation of stock markets from late 1980s resulted in regional economic integrations Phylaktis, 1997 and Phylaktis, 1999 and growing stock market interdependence Janakiramanan and Lamba, 1998 and Pan et al., 1999. Market linkages are noticeably greater for the post-1987 period as reported in Arshanapalli et al. (1995), and for the post-1997 period Chow, 1999, Kaminsky and Schmukler, 1999 and Girard and Rahman, 2002. In addition, information leadership of the US market is confirmed in the Asia–Pacific markets as evidenced by significant first and second moment return spillovers (inter alia Arshanapalli et al., 1995, Liu et al., 1996, Liu and Pan, 1997, Ghosh et al., 1999, Janakiramanan and Lamba, 1998 and Girard and Rahman, 2002). Another potential source of information flow for the Asia–Pacific markets is Japan due to its economic linkages with the rest of the countries in the region. A number of studies report significant spillover effects from both the US and the Japanese markets to the Asia–Pacific markets especially since the East Asian financial crisis of 1997 Liu and Pan, 1997, Cha and Cheung, 1998, Cha and Oh, 2000 and Ng, 2000. However, despite close economic linkages (especially from the mid to late 1980s) between Japan and other regional countries, the influence of the Japanese stock market had not been very strong until the onslaught of the financial crises in the East Asian countries in 1997 Chow, 1999 and Cha and Oh, 2000. The existing body of studies concentrates mostly on weekly return horizons (and at best, daily) in their investigations of market linkages and information spillover effects, and it rarely go beyond the examination of the first and second moment spillover effects. Due to the existence of trading time differences between the US and the Asia–Pacific, disaggregating the daily return horizons into overnight and intradaily periods would produce better insights into the nature of the market interdependence as this would allow the investigation of contemporaneous (co-movements) and dynamic (causation) information spillover effects. This research angle has been neglected by many researchers. In addition, the information content of the US and Japanese market trading volumes would potentially prove useful in providing additional tradable information for the Asia–Pacific markets. To the extent that volume information can be used to infer future stock returns (Blume et al., 1994) and that US and Japanese market returns lead other Asia–Pacific markets, the inclusion of the volume information in the analysis would allow much richer investigation of the US and Japanese stock market leadership in the region. The aim of this paper is to address these issues. Specifically, the time varying nature of the stock market linkages amongst advanced stock markets in the Asia–Pacific region and the US is investigated and the role of the information leadership of the US and Japan in the region is examined. The major findings of the paper are: (i) contemporaneous return and volatility correlations amongst the US and the advanced Asia–Pacific stock markets of Australia, Hong Kong, Japan and Singapore are positive and significant, and are considerably higher in the post-1997 Asian crisis period, (ii) in addition to return and volatility spillovers, significant dynamic spillover effects of the US trading volume are found in all countries, (iii) dynamic information spillover effects from Japan are generally weak and country-specific, and (iv) there is no evidence of significant difference in the dynamic spillover effects before and after the 1997 Asian crisis period. Thus, this paper makes following contributions to the existing literature: (i) provision of updated and comprehensive evidence on the nature of the contemporaneous and dynamic stock market linkages in the region, and (ii) new evidence that sheds light on the information leadership of the US and Japan in the region. The rest of this paper is organised as follows. Section 2 provides the details of the data used in the paper and the results of the preliminary analysis of the data are presented. Section 3 contains the analyses of contemporaneous correlations of the daily returns and volatilities amongst the five countries under investigation. Section 4 provides a further evidence of market linkages in terms of causal influences of the US and Japanese intradaily returns, volatilities and trading volumes. Section 5 presents the investigations of the contemporaneous and dynamic information spillover effects from the US and Japan using the EGARCH modelling methodologies. Finally, conclusions are presented in Section 5.

This paper investigated the nature of linkages of the advanced Asia–Pacific stock markets of Australia, Hong Kong, Japan, Singapore with the US, and information spillovers from the US and Japan to the other markets. The analyses of contemporaneous correlations of daily market returns show significant first and second moment correlations in all country pairs, and these correlations are significantly higher in the post-1997 sample indicating more intensified market linkages after the crisis period. The Granger causality tests revealed that it is the US market that Granger caused the Asia–Pacific markets. In addition to the return to return and volatility to volatility causations, US volume also Granger caused both the returns and volatilities of the Asia–Pacific markets. The Japanese information, however, failed to Granger cause the other Asia–Pacific markets to any significant extent, although the US market return and volatility were Granger caused by the Japanese return and volatility, respectively with essentially no causal flow from the Japanese volume data. Finally, the investigations of the spillover effects reveal that the US returns had a significant influence on the returns of the other markets both contemporaneously and with a lag, while the Japanese returns had the similar positive spillovers contemporaneously but lagged information had mixed results. In both cases, only the contemporaneous spillovers are considerably larger in the post-1997 sample. While the US volatility spillover is generally positive and significant, especially with a lag, the Japanese volatility spillover effects are inconsistent across markets. The volume information spillovers on the conditional volatilities of the other markets, however, are generally significant and positive especially with a lag. However, the volume spillover effects on the returns are generally weak and not uniform across the markets. In short, a complex array of market linkages exists in the Asia–Pacific stock markets. Although the contemporaneous market linkages in the region tended to be higher after the 1997 Asian crisis period suggesting increasing market integration, there is no evidence of more intensified dynamic information spillover from the US and Japanese markets in the later sample. The Asia–Pacific markets responded uniformly to the US information flows, in general, and the Japanese information spillovers are market specific and generally weak compared to the US influence. This might be explained by the fact that the regional markets receive significant portfolio investment inflows from the US thus exhibiting significant and consistent information spillovers from the US. The Japanese financial flows to the region, however, are mostly via bank lending which would result in indirect financial linkages between the Japanese and the regional stock markets.