Stock market integration of emerging Asian economies: Patterns and causes

By Seema W. Narayan, Sivagowry Sriananthakumar, S. Islam. 2014

110 citations recorded by the source corpus.

Abstract In this study, we examine the patterns and causes of stock market integration of selected emerging Asian nations against the US, Australia, China, and India for the period 1 January 2001 to 31 March 2012. We compare patterns of market integration for countries on a daily, weekly, or monthly basis using the time-varying correlation technique, namely, GARCH-dynamic conditional correlations (DCCs). In doing so, we suggest that opportunities in cross border investment vary by frequencies. We also divide daily data into subsamples and find that correlations were strongest during the global financial crisis (GFC) of 2007–09. The time varying bilateral correlations are found to be highly volatile. We also investigate the causes of identified correlations and find that apart from the GFC, the underlying economic and financial conditions have also been responsible for the higher correlations between these stock markets.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/78079e033fbcda5ad659ed6161ed3f3c415543b9

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Citations in the corpus

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis (2018, background): “Narayan, Sriananthakumar, and Islam (2014) also present that relations between Asian and U.S. markets were strongest during the global financial crisis, while Frijns et al. (2012) show that political crises generally reduced the level of stock market integration in 19 emerging countries from the…”