Momentum Strategies: Evidence from Pacific Basin Stock Markets

2002 ◽  
Vol 25 (3) ◽  
pp. 383-397 ◽  
Author(s):  
Allaudeen Hameed ◽  
Yuanto Kusnadi
Keyword(s):  
Stock Markets ◽  
Pacific Basin ◽  
Momentum Strategies

Pacific-Basin stock markets and real activity

1994 ◽  
Vol 2 (2-3) ◽  
pp. 349-373 ◽  
Author(s):  
Yin-Wong Cheung ◽  
Jia He ◽  
Lilian Ng
Keyword(s):  
Stock Markets ◽  
Pacific Basin ◽  
Real Activity

Market integration and financial linkages among stock markets in Pacific Basin countries

2018 ◽  
Vol 46 ◽  
pp. 77-92 ◽  
Author(s):  
Julien Chevallier ◽  
Duc Khuong Nguyen ◽  
Jonathan Siverskog ◽  
Gazi Salah Uddin
Keyword(s):  
Stock Markets ◽  
Market Integration ◽  
Pacific Basin

Co-Movements of Pacific-Basin Stock Markets: Portfolio Diversification Implications

2007 ◽  
Vol 8 (2) ◽  
pp. 11-34
Author(s):  
Ilhan Meric ◽  
Joe Kim ◽  
Lewis Coopersmith ◽  
Gulser Meric
Keyword(s):  
Principal Components ◽  
Stock Markets ◽  
Weak Form ◽  
Portfolio Diversification ◽  
Pacific Basin ◽  
Test Results ◽  
Considerable Time ◽  
Causality Test ◽  
The Pacific ◽  
Components Analysis

This paper studies the co-movements of and the linkages between twelve Pacific-Basin stock markets during the June 1995-May 2005 period. We use the principal components analysis (PCA) technique to group the stock markets into statistically significant principal components in terms of the similarities of their index return movements. The rolling correlation analysis results show that correlation between the Pacific-Basin stock markets has considerable time-varying volatility. The Granger causality test results indicate that the weekly index returns of most Pacific-Basin stock markets are weak-form efficient and that most Pacific-Basin stock markets have significant lead/lag linkages. The study investigates the portfolio diversification implications of the linkages between the Pacific-Basin stock markets.

Pacific Basin stock markets and international capital asset pricing

2000 ◽  
Vol 11 (1-2) ◽  
pp. 1-16 ◽  
Author(s):  
Yin-Ching Jan ◽  
Peter Shyan-Rong Chou ◽  
Mao-Wei Hung
Keyword(s):  
Asset Pricing ◽  
Stock Markets ◽  
Capital Asset Pricing ◽  
Pacific Basin ◽  
International Capital ◽  
Capital Asset
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