Frontier stock market integration and the global financial crisis

Mei-Ping Chen (), Pei-Fen Chen and Chien-Chiang Lee ()

The North American Journal of Economics and Finance, 2014, vol. 29, issue C, 84-103

Abstract: This paper examines the stock market integration between frontier and leading markets, focusing on the periods of pre and post global financial crisis. Using time-series analysis, the results mostly support leading markets can Granger-cause frontier markets. Frontier markets in different regions have distinct relationships with leading markets. Population growth, industry value, interest rate, tax rate, and tariff of the frontier markets significantly influence the integration between both markets. Energy, gross national income, stock traded value, and high-technology exports of leading markets saliently influence the integration. Finally, the global financial crisis impacts the relationship between the frontier and leading markets and changes the determinants of stock market integration.

Keywords: Frontier market; Stock market integration; Financial crisis; Granger causality (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:29:y:2014:i:c:p:84-103

DOI: 10.1016/j.najef.2014.05.004

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