Long-Run Comovements in East Asian Stock Market Volatility

Gilles de Truchis and Benjamin Keddad ()

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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.

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Date: 2016
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Citations: View citations in EconPapers (4)

Published in Open Economies Review, 2016, 27, pp.969 - 986

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01549713

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