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Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests

Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests

Caporale, Guglielmo Maria and You, Kefei ORCID: 0000-0001-7253-5838 (2017) Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests. [Working Paper] (Unpublished)

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Abstract

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no integration/convergence of any kind is found. By contrast, in the post-crisis period, the Asian stock markets appear to be integrated both globally and regionally at the aggregate level; at the industry level, there is evidence of both global and regional integration in 6 out of 10 cases, the exceptions being Financials and Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel convergence is not found for the pre-crisis period and for the Gas & Oil and Technology sectors in the post-crisis period.

Item Type: Working Paper
Uncontrolled Keywords: Asian stock markets, global and regional integration, Phillips-Sul tests, panel and club convergence
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Faculty / Department / Research Group: Faculty of Business
Faculty of Business > Department of Accounting & Finance
Last Modified: 27 Feb 2019 16:01
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
Selected for GREAT 2019: None
URI: http://gala.gre.ac.uk/id/eprint/21417

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