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Financial Integration and Japanese Stock market Performance

Author

Listed:
  • Sandrine Kablan

    (ERUDITE, IPAG-Lab, Université de Paris est Créteil)

  • Khaled Guesmi

    (IPAG Lab - IPAG Business School)

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.

Suggested Citation

  • Sandrine Kablan & Khaled Guesmi, 2016. "Financial Integration and Japanese Stock market Performance," Economics Bulletin, AccessEcon, vol. 36(2), pages 1064-1070.
    • Handle: RePEc:ebl:ecbull:eb-15-00434
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    File URL: http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I2-P105.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Dorina Clichici & Victoria Iordachi, 2017. "Volatility of Cross-Border Financial Flows and Policy Responses," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, vol. 5(1), June.

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    More about this item

    Keywords

    Regional integration; ICAPM; Price of Risk;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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