An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets

Ali Fegheh Majidi (), Ahmad Mohammadi () and Behnaz Nanvay Sabegh ()
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Ali Fegheh Majidi : University of Kurdistan
Ahmad Mohammadi : University of Kurdistan
Behnaz Nanvay Sabegh : University of Kurdistan

Journal of Money and Economy, 2017, vol. 12, issue 1, 73-88

Abstract: The capital market in each country is considered as the most important part of the economy and its fluctuations may reflect the economic situation of the country. In this paper, the hypothesis of convergence of stock market price indices in Asian countries during the period from January 2007 to February 2017 is investigated using cluster analysis method. The results show that there is no evidence of overall convergence among countries. However, there are three converging clusters between stock markets while the Jordanian stock market forms a non-convergent cluster. These findings should assist portfolio managers in the design and implementation of appropriate portfolio management strategies. Regulatory authorities can also benefit from the design of financial regulation.

Keywords: Cluster Analysis; Convergence; Price Index; Stock Market (search for similar items in EconPapers)
JEL-codes: C32 C33 G15 (search for similar items in EconPapers)
Date: 2017
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