Empirical analysis of Asia-Pacific equity markets.
Chee, Sera Ai Ping.
Lim, Doreen Ee Ling.
Lim, Kai Ling.
Date of Issue2000
College of Business (Nanyang Business School)
Based on exchange-rate adjusted stock returns of eight Asia-Pacific markets from July 1988 to June 1999, stock market comovement and intertemporal stability are investigated using Factor Analysis. Lead-lag relationships between Singapore-Malaysia and Singapore-Hong Kong are also analyzed from July 1993 to June 1997 using Akaike's Final Prediction Error, tapping on the concept of Granger causality.
Final Year Project (FYP)
Nanyang Technological University