Document Type


Date of Original Version



Driven by the advancement of technology, emergence of financial institutional bodies superseding geographical constraints, as well as cross-regional liberalization paired with the removal of restrictions, global stock markets tend to become increasingly interconnected. On the one hand, it is believed that the globalization has made stock markets more efficient and alleviated the inherent risk thereof, resulting from greater access to financial assets, and thus the possibility to diversify therein. On the other hand, this may, however, lead to increased stock price volatility and trading instability, due to the major stock markets being increasingly correlated. Increasing interconnectedness between companies leads to the assumption that stock prices especially depend on the business sector and industry in which they operate. Thus, the interest in correlation network models is on the rise. However, despite the large number of literature providing network models, there is still uncertainty about their validity as well as true predictive power. Thus, this paper aims to identify stock return correlations between companies of selected industries. The quantitative analysis of historical daily stock returns is encompassing the correlation of the Japanese and Chinese corporate data from pharmaceutical, energy and banking sectors for the time period from 2009 until 2015 with relevant external events. The results show that the Japanese market reacts strongly to specific events during the observation and does not affect the Chinese market in any way, while events relating to the Chinese market have an immediate impact on the Japanese market behaviour.

Publication Title, e.g., Journal

Asia Pacific Management Review





Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.



To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.