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 language | English |
|---|---|
| Pages (from-to) | 171-183 |
| Number of pages | 13 |
| Journal | Journal of International Trade and Economic Development |
| Volume | 4 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Jul 1995 |
| Externally published | Yes |
Keywords
- Granger-causality
- International trade
- Return volatility
- Stock returns
- Vector autoregressive analysis
ASJC Scopus subject areas
- Geography, Planning and Development
- Development
- Aerospace Engineering