Regional and global integration of Asian stock markets
Isabel Vieira and
Paulo Ferreira ()
Research in International Business and Finance, 2019, vol. 50, issue C, 357-368
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:50:y:2019:i:c:p:357-368
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