Co-movements and dynamic interrelationships in pacific basin stock markets

In this paper, we investigate dynamic interrelationships among the stock markets of Australia, Hong Kong, Japan, New Zealand and Singapore. Using cointegration analysis and the Granger causality test we find that, although the five stock price indices share some common trends, the only stock price which does not apparently Granger cause (precede) the remaining stock prices is that of New Zealand. It is further observed that all price indices are caused by the remaining stock prices except that of Australia. With respect to the geographical separation, it appears that when we consider the Asian countries as an entity and those of the Pacific as another entity, they seem not to influence each other significantly.