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1、PACIFIC-BASINFINANCEJOURNALELSEVIERPacific-BasinFinanceJournal3(1995)57--73Preandpost-October1987stockmarketlinkagesbetweenU.S.andAsianmarketsBalaArshanapallia,*,JohnDoukasb,LarryH.P.LangcaDivisionofBusinessandEconomics,IndianaUnilJersityNorthwest,3400Broadway,Gary,IN46
2、408-1197,USAbFinanceDepartment,GraduateSchoolofBusiness,OldDominionUniL~ersity,Norfolk,VA,USAcFinanceDepartment,TheChineseUniversityofHongKong,HongKong,ChinaAbstractThispaperdocumentsthepresenceofacommonstochastictrendbetweentheU.S.andtheAsianstockmarketmovementsduringt
3、hepost-October1987period.Theevidencesuggeststhatthe"cointegratingstructure"thattiesthesestockmarketstogetherhassubstantiallyincreasedsinceOctober1987.TheinfluenceoftheU.S.stockmarketinnovationswasalsofoundtobegreaterduringthepost-Octoberperiod.Theresultsalsoindicatethat
4、theAsianequitymarketsarelessintegratedwithJapan'sequitymarketthantheyarewiththeU.S.market.Keywords:Asianstockmarketintegration;AsianandU.S.stockmarketlinkages;Commonstochastictrends;Preandpost-October1987stockmarketmovementsJELclassification:G151.IntroductionTheInternat
5、ionalstockmarketcrashofOctober1987hasbeenviewedasevidenceinsupportoftheexistenceofa"global"capitalmarket.~However,the¢'~TheauthorswouldliketoacknowledgethefinancialsupportprovidedbyIndianaUniversityNorthwest.*Correspondingauthor.1ThePresidentialTaskForceonMarketMechanis
6、ms,knownalsoasBradyCommissionReport,notesthat"[w]hatmayhaveappearedstrictlya'WallStreet'collapsewastheresultofthecumulativeimpactofseveraldevelopmentsoccurringsimultaneouslyinseveralfinancialcenters"(seePresidentialTaskForceonMarketMechanisms,1988).Thesameviewisalsoshar
7、edbyMalliarisandUrrutia(1992).0927-538X/95/$09.50©1995ElsevierScienceB.V.AllrightsreservedSSDI0927-538X(94)00025-558B.ArshanapallietaL/Pacific-BasinFinanceJournal3(1995)57-73analysisbyRoll(1988)oftheworldwidedeclineinequityvaluesduringOctober1987suggeststhatthetimingand
8、magnitudeofdeclinesdifferedacrossmarketsaroundtheworld.HereportsthatthecrashoriginatedinAsiafollowedbyEurope,t
