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Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5

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  • Chien, Mei-Se
  • Lee, Chien-Chiang
  • Hu, Te-Chung
  • Hu, Hui-Ting

Abstract

This paper examines the dynamic process of convergence among cross-border stock markets in China and ASEAN-5 countries using recursive cointegration analysis. The results show that these six stock markets had at most one cointegrating vector from 1994 to 2002. Overall, the regional financial integration between China and ASEAN-5 has gradually increased. Additionally, the estimated coefficients of error correction terms are statistically significant and negative in China and Indonesia, but the coefficients of other countries are insignificant, meaning that all of the adjustment of this cointegration fell on these two countries' stock markets.

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  • Chien, Mei-Se & Lee, Chien-Chiang & Hu, Te-Chung & Hu, Hui-Ting, 2015. "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5," Economic Modelling, Elsevier, vol. 51(C), pages 84-98.
    • Handle: RePEc:eee:ecmode:v:51:y:2015:i:c:p:84-98
    DOI: 10.1016/j.econmod.2015.06.024
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