Regional integration of the East Asian stock markets: an empirical assessment
Salem Boubakri () and
Cyriac Guillaumin ()
Post-Print from HAL
The aim of this paper is to study the dynamics of regional financial integration in East Asia over the 1990:01–2012:08 period. To this end, we use the international capital asset pricing model (ICAPM) to assess the evolution of financial market integration through time and evaluate their risk premia. We also construct an Asian currency basket in order to obtain a reference currency in this area. Our empirical analysis is based on the multivariate GARCH-DCC approach with time-varying correlations. Our results show that the East Asian stock markets were partially segmented (except for Japan) within their region until approximately 2008. However, the last years are characterized by an upward trend in the regional integration of stock markets. Our findings also show that the risk premium related to regional stock markets is significant for all countries.
Keywords: Regional financial integration; East Asia; International capital asset pricing model (ICAPM) (search for similar items in EconPapers)
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01195916
References: Add references at CitEc
Citations: View citations in EconPapers (23) Track citations by RSS feed
Published in Journal of International Money and Finance, Elsevier, 2015, 57, pp. 136-160. ⟨10.1016/j.jimonfin.2015.07.011⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Regional integration of the East Asian stock markets: An empirical assessment (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01195916
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().