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GRANGER CASUALITY ANALYSIS OF STOCK PRICE IN MAJOR ASIA MARKETS
AND THE UNITED STATES GAN MPIRICAL INVESTIGATION This study
uses unit root test and cointegration test and Granger
casuality test to exaime the relationship and casuality between
the stock market indexes in the United States and Hong or
Singpore.This investigation is conducted by weekly return on
stock market indexes made by Morgan Stainly Corporation Index
1,3,1985 through 12 13,1995. The empirical results show that
unit roots in stock index were found and there were no evidence
of cointegration between the stock market indexes .The
empirical also show the situation of United States market leads
the Japan market is getting weaker. Moreover,the Hong Kong and
the Singpore stock markets was leded only by long term factor
from American stock markets and there is no evidence that
American was leded by effective factors from Kong or Singpore.
Although the results reflect the dominant position of the
United states stock market in the four markets with some factor,
each of national stock markets is effected by its own national
factor This implies the fact that the risk of international
investment portfolios can be reduced by international
diversification.
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