Economics at your fingertips  

Does economic integration lead to financial market integration in the Asian region?

Yuegang Song, Ruixian Huang, Sudharshan Reddy Paramati () and Abdulrasheed Zakari

Economic Analysis and Policy, 2021, vol. 69, issue C, 366-377

Abstract: This study empirically examines the impact of economic integration on stock market co-movements of India with major Asian markets such as China, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, and Thailand. We collect daily data on stock market indices from September 1999 to December 2017. The asymmetric generalised dynamic conditional correlation GARCH model is applied to estimate the time-varying conditional correlations among the various stock markets. Next, the panel autoregressive distributed lag method is applied to investigate the impact of economic integration on stock market co-movements. Our results show that economic integration has a significant positive impact on stock market co-movements in the region. The results also provide supporting evidence that the global financial crisis positively contributed to stock market interdependence in the Asian region.

Keywords: Economic integration; Stock market co-movements; GFC; AGDCC-GARCH; Asia (search for similar items in EconPapers)
JEL-codes: C32 F15 F36 G01 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.eap.2020.12.003

Access Statistics for this article

Economic Analysis and Policy is currently edited by Clevo Wilson

More articles in Economic Analysis and Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-09-23
Handle: RePEc:eee:ecanpo:v:69:y:2021:i:c:p:366-377