Abstract

This paper focuses on the causality relation between US and the several Asia-pacific markets (Japan, China,
Hong Kong, Taiwan, Singapore, Korea, and Indonesia). We check the causality of the co-movement among the
markets across Pacific by using Granger-Causality test, VAR, and event studying on unexpected high volatile
period. Our tests show that U.S. and Japan have strong influence to other Asia-pacific markets. Comparing with
US market, Japan market has high correlation but low granger causality relation with other Asia markets.
However, comparing with its strong business relation with other countries, Chinese equity market appears very
low correlation with other Asia markets and US market. Hong Kong, Taiwan, Singapore, Korea, and Indonesia
markets show relative strong correlation and weak granger causality relation among each other.

This work is licensed under a Creative Commons Attribution 4.0 License.