 Financial integration of Asian markets: multivariate cointegration, causality and variance decompositionKalai Lamia International Journal of Business and Systems Research, 2021, vol. 15, issue 4, 510-526 Abstract: The aim of this paper is to study financial integration of East Asian equity markets. We conduct a multivariate cointegration analysis using the Engle-Granger test to determine the presence of a long-term equilibrium relationship between the different equity indices. The Granger procedure defines the meaning of causality. Vector autoregression helps to model the dynamic relationships between the different markets. Forecast error variance decomposition captures much of the information on the dynamics of the indices' VAR system and allows for checking the relative contribution of each shock in explaining price movements. The results indicate that there are long-term stationary equilibrium relationships and causal links between these markets. The results on the forecast error variance decomposition show that the price indices of emerging Asian countries can explain their caused variance and confirm that financial integration prevails in the region. Keywords: financial markets; time series model; financial econometrics; investment decision; financial integration; Asia including Middle East. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbsre:v:15:y:2021:i:4:p:510-526 Access Statistics for this article More articles in International Journal of Business and Systems Research from Inderscience Enterprises Ltd |
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