 Stock market integration in East and Southeast Asia: The role of global factorsFei Wu International Review of Financial Analysis, 2020, vol. 67, issue C Abstract: This study explores the issue of financial integration among stock markets of ASEAN5 economies, plus China (mainland China and Hong Kong), Japan and South Korea (referred to as ASEAN5+4). Using both graph theory and a Vector Autoregressive (VAR)-based method, together with a rolling window approach, we show that the level of interconnectedness among these markets is high but with clear time varying patterns. A large share of this seemingly high level of integration is shown to be driven by common global factors. After filtering these factors from each stock market, the magnitude of interconnectedness falls substantially. Our results therefore suggest that stock market integration in East and Southeast Asia is not as strong as it looks. Although governments in this region have been promoting financial market collaboration and integration, barriers remain significant. The overestimated interconnectedness is mainly a simple reflection of stronger global influences on individual markets, while their interconnectedness attributable to non-global factors shows a descending trend after the crisis. Keywords: Stock market integration; Connectedness; Minimum spanning tree; Vector autoregressive model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:67:y:2020:i:c:s1057521919304016 DOI: 10.1016/j.irfa.2019.101416 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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