Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries

Molla Ramizur Rahman, Arun Kumar Misra, Brian Lucey, Sabyasachi Mohapatra and Satish Kumar
Authors registered in the RePEc Author Service: Satish Kumar and Satish Kumar

Journal of International Financial Markets, Institutions and Money, 2023, vol. 87, issue C

Abstract: The study attempts to examine the stock market integration for Asia-Pacific countries using networks and forms Risk Adjusted Differential Return (RADR) and Benchmark Indices Network (BIN) indices. The RADR index is higher during the Global Financial Crisis (GFC), indicating a higher level of integration. The inter-country network structure is designed where network parameters are capable of explaining stock market integration. Network parameters are higher during the GFC and are used to form a network index - BIN. This study concludes BIN to be a better measure than RADR, as network parameters are independent of differential index return.

Keywords: Stock-market integration; Asia-Pacific region; Network structure; Differential return (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:87:y:2023:i:c:s1042443123000872

DOI: 10.1016/j.intfin.2023.101819

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