Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets

Guglielmo Maria Caporale, Luis Gil-Alana and Kefei You ()
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Kefei You: University of Greenwich, Postal: University of Greenwich, Park Row, Greenwich, SE10 9LS, UK.

Journal of Economic Integration, 2021, vol. 36, issue 2, 185-202

Abstract: This paper investigates if financial markets in emerging Asia have become more globally or regionally integrated since the Asian financial crisis in the late 1990s. It employs a price-based measure of integration, namely, stock return differentials, between 10 emerging Asian economies and the United Stated (US) (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean reversion and draw inferences regarding financial integration. This paper makes a three-fold contribution to the literature. It uses not only aggregate but also industry-level data on stock returns, it examines the impact of the 2008 crisis, and it adopts a more general fractional integration approach. The evidence suggests that in emerging Asia, on both the aggregate and industry (especially for the financial sector) levels, there is more regional than global integration, and that the former became even stronger during the post-2008 crisis period. Furthermore, Japan’s influence has been declining and the Chinese stock market has become more integrated, both regionally and globally.

Keywords: Global and regional integration; Asian stock markets; Fractional integration; Global financial crisis (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets (2017)
Working Paper: Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0824

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