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Empirical Analysis of International Stock Price Linkage

Research Project

Project/Area Number 10630087
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionKwansei Gakuin University (2000)
Osaka University (1998-1999)

Principal Investigator

HIRAYAMA Kenjiro (2000)  Kwansei Gakuin University, School of Economics, Professor, 経済学部, 教授 (70165207)

筒井 義郎 (1998-1999)  大阪大学, 大学院・経済学研究科, 教授 (50163845)

Co-Investigator(Kenkyū-buntansha) 平山 健二郎  関西学院大学, 経済学部, 教授 (70165207)
Project Period (FY) 1998 – 2000
Project Status Completed (Fiscal Year 2000)
Budget Amount *help
¥3,400,000 (Direct Cost: ¥3,400,000)
Fiscal Year 2000: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1999: ¥1,300,000 (Direct Cost: ¥1,300,000)
Fiscal Year 1998: ¥1,500,000 (Direct Cost: ¥1,500,000)
Keywordsstock price / international linkage / VAR / portfolio adjustments / exchange rates / international investments / common shock / stock price / International linkage / portfolio adjustment / lag structure / structural VAR / 株価(stock prices) / 相互連関(linkage) / 共通ショック(common shock) / ラグ構造(lag structure) / 共和分分析(co-integration) / VEC
Research Abstract

This research project involved empirical analysis of international stock price linkage, utilizing daily data for four major countries (Japan, US, UK, Germany) with over 6000 observations between 1975 and 1997. Cointegration tests were applied to split samples, showing increasing international stock price linkage in recent years. This is consistent with many previous studies. However, daily rates of change less than 0.4% were found to insiginificantly affect other stock price indexes. Rates of change over 0.4% are transmitted significantly to other countries, indicating 'threshold effects' in stock price linkage. Another finding is that negative changes are more significantly transmitted than positive ones, exhibiting 'asymmetry' in the linkage.
For a given country, the strongest influence emanates from the country where the closing of its share trading is next followed by the country in question. For example, Japan is influenced most significantly by the U.S.stock prices and the latter is strongly affected by the U.K.
A number of causes for the international stock price linkage are possible. One candidate is the existence of shocks common to the countries. Thus, magnitudes of common and country-specific shocks were estimated. The size of common shocks was found to be considerale. Another possible cause is portfolio adjustments by international investors. They would evaluate stock prices in different countries in their own currency, implying a role played by exchange rate movements. A VAR model was specified with and without exchange rate factors. Non-nested tests were conducted to test if exchange rates have any significant explanatory power. In many cases, exchange rates were found to have little or no explanatory power, implying that portfolio adjustments by international stock investors are not the cause of international stock price linkage.

Report

(4 results)
  • 2000 Annual Research Report   Final Research Report Summary
  • 1999 Annual Research Report
  • 1998 Annual Research Report
  • Research Products

    (19 results)

All Other

All Publications (19 results)

  • [Publications] HIRAYAMA,K.& Y.TSUTSUI: "Intaisifying International Linkage of Stock Prices : Cointegration and VEC Anclysis "Osaka Economic Faters. 48. 1-17 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] HIRAYAMA,K.& Y.TSUTSUI: "Threshold Effect in Internationd Linkage of Stock Prices"Japan and the World Economy. 10. 441-453 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] TSUTSUI,Y.& K.HIRAYAMA: "Appropriate Log Specification for Daily Responses of International Stock Markets"Discussion Papers in Economics and Basiness (Osaka Univ.). 99-13. 1-33 (1999)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] TSUTSUI,Y.& K.HLRAYAHA: "Are International Portfolio Adjustmeuts A Cause of Comouement of Stock Prices?"Discussion Papers in Economics and Business(Osaka Univ.). 00-12. 1-28 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] TSUTSUI,Y.: "Stock Prices in Japan Rise at Night."Discussion Papers in Economics and Business(Osaka Univ.). 00-09. 1-25 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] TSUTSUI,Y.: "The Interdependence and Its Cause of Japanese and U.S.Stock Prices : An Event Study"Discussion Papers in Economics and Business (Osaka Univ.). 00-13. 1-22 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] TSUTSUI,Y.& K.HIRAYAMA: "Estimation of the Common and Country-Specific Shock to Stock Prices"Discussion Papers in Econumics and Business (Osaka Univ.). 98-08. 1-21 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Hirayama, Kenjiro and Yoshiro Tsutsui: "Intensifying International Linkage of Stock Prices : Cointegration and VEC Analysis."Osaka Economic Papers. Vol.48, No.1. 1-17 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Hirayama, Kenjiro and Yoshiro Tsutsui: "Threshold Effect in International Linkage of Stock Prices."Japan and the World Economy. Vol.10. 441-453 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Tsutsui, Yoshiro and Kenjiro Hirayama: "Appropriate Lag Specification for Daily Responses of International Stock Markets."Discussion Papers in Economics and Business (Osaka University). No.99-13.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Tsutsui, Yoshiro and Kenjiro Hirayama: "Are International Portfolio Adjustments A Cause of Comovement of Stock Prices?"Discussion Papers in Economics and Business (Osaka University). No.00-12.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Tsutsui, Yoshiro: "Stock Prices in Japan Rise at Night."Discussion Papers in Economics and Business (Osaka University). No.00-09.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Tsutsui, Yoshiro: "The Interdependence and Its Cause of Japanese and U.S.Stock Prices : An Event Study."Discussion Papers in Economics and Business (Osaka University). No.00-13.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Tsutsui, Yoshiro and Kenjiro Hirayama: "Estimation of the Common and Country-Specific Shock to Stock Prices."Discussion Papers in Economics and Business (Osaka University). No.98-08.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] TSU TSUl,Y.& K.HIRAYAHA: "Are International Portfolio Adjustments A Cause of Comovenent of Stock Prices?"Discussion Papers in Economics and Business (Osaka Univ.). 00・12. 1-28 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] TSU TSUl,Y.: "Stock Prices in Japan Rise at Night."Discussion Papers in Economics and Business (Osaka Univ.). 00・09. 1-25 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] TSU TSUl,Y.: "The Interdependence and Its Cause of Japanese and U.S. Stock Prices : An Event Study"Oiscussion Papers in Economics and Business (Osaka.Unir.). 00・13. 1-22 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] Hirayama and Tsutsui: "Intersifying International Linkage of Stock Prices" Osaka Economic Papers. 48,1. 1-17 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] Hirayama and Tsutsui: "Threshold Effect in International Linkage of Stock Prices" Japan and the World Economy. 11. 29-39 (1998)

    • Related Report
      1998 Annual Research Report

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Published: 1998-04-01   Modified: 2016-04-21  

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