Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations

Aviral Tiwari, Arif Dar, Niyati Bhanja () and Aasif Shah ()
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Aasif Shah: Pondicherry University, Postal: Department of Commerce, Pondicherry University, R.V. Nagar Kalapet Puducherry-605014, India

Journal of Economic Integration, 2013, vol. 28, 441-456

Abstract: This study examines the integration of nine Asian stock markets using the new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Fernandez (2012). This novel approach eliminates several limitations which are encountered when conventional pairwise wavelet correlation and cross-correlation are used to assess the comovement of a set of stock indices. Our results show that Asian stock markets are highly integrated at lower frequencies and comparatively less integrated at higher frequencies. From the perspective of international investors, the Asian stock markets therefore offer little potential gains from international portfolio diversification especially for monthly, quarterly, and bi-annual time horizon investors, whereas, higher potential gains are expected at intraweek, weekly, and fortnightly time horizons.

Keywords: Asian Countries; International Portfolio Diversification; Stock Market Integration; Wavelet Multiple Correlation (search for similar items in EconPapers)
JEL-codes: F36 G11 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (34)

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