ASEAN Plus Three Stock Markets Integration

Khaled Guesmi, Olfa Kaabia and Ilyes Abid
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Olfa Kaabia: INSEEC Business School
Ilyes Abid: ISC Paris Business School

Journal of Quantitative Economics, 2017, vol. 15, issue 3, No 7, 565-581

Abstract: Abstract This paper examines the role played by local and international factors in the international integration process to stock markets worldwide. Using a sample of ASEAN + 3 (Association of South East Asian Nations + China, Korea and Japan) during the period between 2000 and 2014, we identify the main factors that might influence regional integration of stock markets. We propose an advantageous econometric approach based on a conditional version of the Dynamic International Capital Asset Pricing Model (ICAPM) to explore major sources of time-varying risks. We specifically apply the multivariate BEKK-GARCH process of Cappiello et al. (Journal of Financial Econometrics 25:537–572, 2006) to simultaneously estimate the ICAPM for each country. The study puts in evidence that regional trade openness, regional and world industrial production, dividend yields and commodity prices are among the key determinants of regional integration in the ASEAN + 3 context whatever is the measure of exchange rate risk.

Keywords: Financial integration; ICAPM; ASEAN + 3; BEKK-GARCH (search for similar items in EconPapers)
JEL-codes: C32 F31 F36 G12 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s40953-016-0062-3

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