Evidence on the dynamic relationship between international trade and the stock market: The four asian tigers

Hung Gay Fung, Wai Chung Lo, Wai K. Leung

Research output: Journal PublicationArticlepeer-review

2 Citations (Scopus)

Abstract

This study uses vector autoregressive analysis to examine the dynamic interactions of monthly real stock returns, return volatility, exchange rates. export growth and import growth for Hong Kong, Korea, Singapore, and Taiwan for the period 1975-91. We find that exports and imports have significant interactions. The results also indicate that stock returns in Hong Kong and Singapore Granger-cause trade flows. Return volatility is found to react strongly to trade news in all four countries. a result supporting the efticient-market hypothesis.

Original languageEnglish
Pages (from-to)171-183
Number of pages13
JournalJournal of International Trade and Economic Development
Volume4
Issue number2
DOIs
Publication statusPublished - Jul 1995
Externally publishedYes

Keywords

  • Granger-causality
  • International trade
  • Return volatility
  • Stock returns
  • Vector autoregressive analysis

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Development
  • Aerospace Engineering

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