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The Asia-Pacific stock markets rose abruptly in early 80''
with their rapideconomics growth and became a focus of
investors. The requirement of investorsthat want to invest the
stocks in international markets increased day by day, sothe
analysis and compare of the international stock markets
will make theinvestors understood the international stock
markets more clearly. This thesisexamines the correlations,
interdependencies, and lead-lag relationships amongstock price
indices of the United States, the United Kingdom, Japan,
Germany,France, and the Asia-Pacific Emerging Stock Market. An
empirical investigationapplying vector-autoregression (VAR)
analysis is conducted by using daily dataon the stock market
indices from January 5, 1993 through December 31, 1997. The
empirical analysis shows that the United States market leads
all theother twelve markets, while none of these other countries
leads the U.S. market.The results indicate that the U.S. market
can be used as a leading indicator forthe other financial
markets. According to impulse response analysis and
forecast error variancedecomposition of the thirteen stock
markets, the U.S. market is found to be themost influential in
the world. Taiwan market is less affected by
internationalfactors. The status of Hong Kong market has
promoted. Also, the dynamic responsepattern supports the
notion of informationally efficient international stockmarkets.
International factors and its own national factors affect
each of thenational stock markets. This implies the
international stock markets are weaklysegmented. In addition,
correlations among returns to nation stock markets arelow,
which supports the fact that the risk of investment
portfolio can bereduced by international diversification.
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