Long-Run Comovements in East Asian Stock Market Volatility

Gilles de Truchis and Benjamin Keddad ()

Open Economies Review, 2016, vol. 27, issue 5, No 8, 969-986

Abstract: Abstract Two integrated stock markets are generally subjected to common shocks revealing that commonalities in fundamentals drive their underlying return processes. In such a case, volatility series should share a long-run component although their transitory components might temporary diverge. In this paper, we investigate stock market integration in East Asia by analyzing the co-persistent nature of their ex-post observed volatility. Using recent fractional cointegration techniques, we find that volatility of several markets converges in the long run to a common equilibrium. Our results reveal that a global integration process drives the most developed markets of the region, while no evidence of co-persistence appears for emerging markets.

Keywords: Volatility; Co-persistence; Fractional cointegration; East Asian stock markets; Comovement; Financial integration (search for similar items in EconPapers)
JEL-codes: C22 F36 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11079-016-9401-4

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