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Equity market integration in the Asia-Pacific region: A smooth transition analysis

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  • Chelley-Steeley, Patricia

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 13 (2004)
Issue (Month): 5 ()
Pages: 621-632

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Handle: RePEc:eee:finana:v:13:y:2004:i:5:p:621-632

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Web page: http://www.elsevier.com/locate/inca/620166

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References

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  1. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  2. John Y. Campbell & Yasushi Hamao, 1989. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," NBER Working Papers 3191, National Bureau of Economic Research, Inc.
  3. Goetzmann, William N. & Jorion, Philippe, 1999. "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 1-32, March.
  4. Leybourne, Stephen J. & Mizen, Paul, 1999. "Understanding the disinflations in Australia, Canada and New Zealand using evidence from smooth transition analysis," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 799-816, October.
  5. Sarno, Lucio & Taylor, Mark P., 1999. "Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation," Journal of Development Economics, Elsevier, vol. 59(2), pages 337-364, August.
  6. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
  7. Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 155-173, June.
  8. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  9. Chung, Pin J. & Liu, Donald J., 1994. "Common stochastic trends in pacific rim stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 34(3), pages 241-259.
  10. Korajczyk, Robert A, 1996. "A Measure of Stock Market Integration for Developed and Emerging Markets," World Bank Economic Review, World Bank Group, vol. 10(2), pages 267-89, May.
  11. Eduardo Roca, 1999. "Short-term and long-term price linkages between the equity markets of Australia and its major trading partners," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 501-511.
  12. Lessard, Donald R, 1973. "International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries," Journal of Finance, American Finance Association, vol. 28(3), pages 619-33, June.
  13. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  14. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  15. Grubel, Herbert G & Fadner, Kenneth, 1971. "The Interdependence of International Equity Markets," Journal of Finance, American Finance Association, vol. 26(1), pages 89-94, March.
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Citations

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Cited by:
  1. Mohamed Arouri & Frédéric Teulon & Christophe Rault, 2014. "Equity Risk Premium and Regional Integration," Working Papers 2014-371, Department of Research, Ipag Business School.
  2. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2011. "Correlation dynamics in equity markets: evidence from India," Research in International Business and Finance, Elsevier, vol. 25(1), pages 64-74, January.
  3. Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2007. "Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 242-261.
  4. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
  5. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA.
  6. Priscilla Swartz, 2006. "Global Versus Regional Systematic Risk and International Asset Allocations in Asia," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 77-89, May.
  7. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  8. Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
  9. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
  10. Guidi, Francesco, 2010. "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," MPRA Paper 19853, University Library of Munich, Germany.
  11. Gregory Birg & Brian M. Lucey, 2006. "Integration Of Smaller European Equity Markets : A Time-Varying Integration Score Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp136, IIIS.
  12. Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
  13. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
  14. Tai, Chu-Sheng, 2007. "Market integration and currency risk in Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 21(1), pages 98-117, January.

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