Are domestic Asian markets integrated with the regional one? An empirical assessment

Khaled Guesmi

Economics Bulletin, 2011, vol. 31, issue 1, A5

Abstract: This article investigates the evolution of the Asian stock market integration with the regional one. First, we estimate the time-varying degree of Asian market integration using conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH para-meters. Secondly, we study the structural breaks in these series. Finally, we relate the ob-tained results to important facts and economic events.

Keywords: Time-varying Integration; Emerging Markets; ICAPM; Risk Premium; DCC-GARCH. (search for similar items in EconPapers)
JEL-codes: C1 C3 (search for similar items in EconPapers)
Date: 2011-02-01
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