Co-movements of major Asian-Pacific and the United States equity markets : a Singapore dollar perspective.
Cheow, Hock Beng.
Chern, Cher Hoon.
Low, Jee Fun.
Date of Issue1994
College of Business (Nanyang Business School)
This paper investigates the lead/lag relationships among major the Asian-Pacific and United States equity markets from a Singapore investor's perspective. Using daily closing index data for the period from 4 January 1988 to 21 April 1994, we apply Granger Causality techniques to determine the degree and direction of causality between the Singapore and other major foreign equity markets.
NANYANG TECHNOLOGICAL UNIVERSITY