Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan

This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the US and the information leadership of the US and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the US and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the US were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific. J. Japanese Int. Economies 19 (3) (2005) 338-365. School of Banking and Finance, The University of New South Wales, Sydney, NSW 2052, Australia. (c) 2004 Elsevier Inc. All rights reserved.