Asian financial market integration and the role of Chinese financial market

Byung-Joo Lee

International Review of Economics & Finance, 2019, vol. 59, issue C, 490-499

Abstract: This paper uses panel unit root test and panel cointegration test to examine whether there are common trends among Asian financial markets, and if there are common trends, are they stationary or not. Asian stock market integration is an important issue in the midst of ever increasing goods and service trades. Despite the recent progress, the degree of intra-regional financial integration appears to lag behind the increase in trades in the region. Empirical evidence shows that financial market returns among Asian countries are all stationary in itself and panel unit root tests reinforces this conclusion. Asian financial markets generally move together, and they could be integrated in a statistical point of view. China appears to be an outlier in this analysis, and her financial market is not in sync with any other Asian financial markets in the sample.

Keywords: Asian financial market integration; Panel unit root test; Panel Analysis of Nonstationarity in the Idiosyncratic and Common Components (PANIC) (search for similar items in EconPapers)
JEL-codes: C22 F21 F36 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:59:y:2019:i:c:p:490-499

DOI: 10.1016/j.iref.2018.10.012

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