@article{ART002073641},
author={Il-Hyun Yoon},
title={The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific},
journal={Journal of Asia-Pacific Studies},
issn={1225-8539},
year={2015},
volume={22},
number={4},
pages={165-189},
doi={10.18107/japs.2015.22.4.006}
TY - JOUR
AU - Il-Hyun Yoon
TI - The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific
JO - Journal of Asia-Pacific Studies
PY - 2015
VL - 22
IS - 4
PB - Institute of Global Affairs
SP - 165
EP - 189
SN - 1225-8539
AB - This study examines the impact of the US macroeconomic information on stock market returns in Asia-Pacific countries in the age of economic globalization. Macroeconomic indicators used for analysis are consumer price index, industrial production index, initial jobless claims, total nonfarm payrolls, 10-year treasury maturity rate, civilian unemployment rate, trade-weighted US Dollar index and JPY/USD exchange rate. GARCH model estimation is employed to investigate the effect of changes in these variables on stock market returns in Asia-Pacific countries using monthly data of the period from July 1997 to September 2015.
The results show that all stock market returns in sample countries are affected by one or more variables from the US. Both trade-weighted US Dollar and Japanese Yen are the factors that affect stock markets in Asia-Pacific region most extensively. As to volatility spillover effect, the volatility in consumer price index is found to be transmitted into the stock markets in several countries.
KW - Asia-Pacific;GARCH Model;Macroeconomic Indicators;Stock Returns;Unit Root
DO - 10.18107/japs.2015.22.4.006
ER -
Il-Hyun Yoon. (2015). The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific. Journal of Asia-Pacific Studies, 22(4), 165-189.
Il-Hyun Yoon. 2015, "The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific", Journal of Asia-Pacific Studies, vol.22, no.4 pp.165-189. Available from: doi:10.18107/japs.2015.22.4.006
Il-Hyun Yoon "The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific" Journal of Asia-Pacific Studies 22.4 pp.165-189 (2015) : 165.
Il-Hyun Yoon. The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific. 2015; 22(4), 165-189. Available from: doi:10.18107/japs.2015.22.4.006
Il-Hyun Yoon. "The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific" Journal of Asia-Pacific Studies 22, no.4 (2015) : 165-189.doi: 10.18107/japs.2015.22.4.006
Il-Hyun Yoon. The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific. Journal of Asia-Pacific Studies, 22(4), 165-189. doi: 10.18107/japs.2015.22.4.006
Il-Hyun Yoon. The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific. Journal of Asia-Pacific Studies. 2015; 22(4) 165-189. doi: 10.18107/japs.2015.22.4.006
Il-Hyun Yoon. The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific. 2015; 22(4), 165-189. Available from: doi:10.18107/japs.2015.22.4.006
Il-Hyun Yoon. "The Impact of US Macroeconomic Information on World Stock Market Returns: Evidence from Asia-Pacific" Journal of Asia-Pacific Studies 22, no.4 (2015) : 165-189.doi: 10.18107/japs.2015.22.4.006
