Financial integration and Japanese stock market

Khaled Guesmi and Akassi Kablan

MPRA Paper from University Library of Munich, Germany

Abstract: Our paper tests the conditional version of the International Capital Asset Pricing Model (ICAPM) applying a parsimonious multivariate DCC - GARCH process. By permitting the prices of risk and the level of market integration to vary through time, our results show that Japan experienced increases in the degree of regional integration in last years. The increasing integration into regional financial markets alone is unlikely to provide a sound ground for a currency union in ASEAN+5 at this stage, but improvement in welfare gains in the ASEAN+5 economies by means of further risk sharing is possible.

Keywords: Financial integration; ICAPM; ASEAN; DCC-GARCH (search for similar items in EconPapers)
JEL-codes: C32 F31 F36 G12 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-fmk and nep-sea
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Related works:
Working Paper: Financial integration and Japanese stock market (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70206

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