Co-movements of major Asian-Pacific and the United States equity markets : a Singapore dollar perspective.

Co-movements of major Asian-Pacific and the United States equity markets : a Singapore dollar perspective.

This paper investigates the lead/lag relationships among major the Asian-Pacific and United States equity markets from a Singapore investor's perspective. Using daily closing index data for the period from 4 January 1988 to 21 April 1994, we apply Granger Causality techniques to determine the d...

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Bibliographic Details
Main Authors: Cheow, Hock Beng., Chern, Cher Hoon., Low, Jee Fun.
Other Authors: Lau, Sie Ting
Format: Theses and Dissertations
Language:English
Published: 2009
Subjects:
DRNTU::Business::Finance::Equity
Online Access:http://hdl.handle.net/10356/20113
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Institution: Nanyang Technological University
Language: English
Description
Summary:This paper investigates the lead/lag relationships among major the Asian-Pacific and United States equity markets from a Singapore investor's perspective. Using daily closing index data for the period from 4 January 1988 to 21 April 1994, we apply Granger Causality techniques to determine the degree and direction of causality between the Singapore and other major foreign equity markets.

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