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Global and regional financial integration in emerging Asia: evidence from stock markets

Global and regional financial integration in emerging Asia: evidence from stock markets

Caporale, Guglielmo Maria, Gil-Alana, Luis A. and You, Kefei ORCID: 0000-0001-7253-5838 (2021) Global and regional financial integration in emerging Asia: evidence from stock markets. Journal of Economic Integration, 36 (2). pp. 185-202. ISSN 1225-651X (Print), 1976-5525 (Online) (doi:https://doi.org/10.11130/jei.2021.36.2.185)

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Abstract

This paper investigates whether 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 ten emerging Asian economies and the 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 inference on financial integration. It makes a three-fold contribution: it uses not only aggregate but also industry level data on stock returns; it examines the impact of the 2008 crisis; it adopts a more general fractional integration approach. The evidence suggests that in emerging Asia, at both the aggregate and industry (especially for the financial sector) level, there is more regional than global integration, and that the former has become even stronger in the post-2008 crisis period. Further, Japan’s influence has been declining and the Chinese stock market has become more integrated, both regionally and globally.

Item Type: Article
Uncontrolled Keywords: global and regional integration, Asian stock markets, fractional integration, global financial crisis
Subjects: H Social Sciences > HB Economic Theory
Faculty / Department / Research Group: Faculty of Business
Faculty of Business > Department of Accounting & Finance
Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA)
Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Centre for Governance, Risk & Accountability (CGRA)
Related URLs:
Last Modified: 13 Jul 2021 10:31
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
Selected for GREAT 2019: None
Selected for REF2021: None
URI: http://gala.gre.ac.uk/id/eprint/31381

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