Edith Cowan University
Place of Publication
Joondalup, Western Australia
Faculty of Business and Public Management
School of Accounting, Finance and Economics
This paper examines the correlation estimates for some Asia-Pacific markets equity markets using the DCC-MGARCH, CC-MGARCH and a simple moving average regression based on a sliding window of 100 days. Using daily return series, the equity markets of Australia, Hong Kong, Japan and Singapore are analysed for the period 1990 to 2001. Parsimonious specifications for the multivariate GARCH framework are used to shed light on the correlation structure of these markets. The dynamic nature of the correlation between pair-wise countries is captured using the dynamic conditional correlation multivariate GARCH framework and explained. Both global as well as regional factors are seen to contribute to the correlation spikes for pair-wise markets. There is also evidence to suggest a higher comovement between markets since the Asian financial crisis. This paper provides a useful comparison of correlation estimates using a variety of specifications.