EconPapers    
Economics at your fingertips  
 

Regional and global integration of Asian stock markets

Wahbeeah Mohti, Andreia Dionísio, Isabel Vieira and Paulo Ferreira ()

Research in International Business and Finance, 2019, vol. 50, issue C, 357-368

Abstract: This paper assesses the levels of regional and global stock market integration of emerging and frontier Asian countries. The long run relationships established amongst markets are investigated using Gregory and Hansen’s cointegration tests and Detrended Cross Correlation coefficients. The results of the empirical analysis indicate that all considered emerging markets display some evidence of both global and regional integration. In the case of frontier markets, however, this is true solely for Pakistan and, to a lesser extent, for Vietnam. These results are of interest, inter alia, to international investors interested in expanding the geographical scope of portfolio diversification strategies.

Keywords: Emerging markets; Frontier markets; Stock market integration; Detrended cross correlation analysis (DCCA); Gregory and Hansen cointegration test (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531918309991
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: https://EconPapers.repec.org/RePEc:eee:riibaf:v:50:y:2019:i:c:p:357-368

DOI: 10.1016/j.ribaf.2019.06.003

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-05-05
Handle: RePEc:eee:riibaf:v:50:y:2019:i:c:p:357-368