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Assessing financial market integration in Asia - Equity markets

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  • Yu, Ip-Wing
  • Fung, Kang-Por
  • Tam, Chi-Sang
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    Abstract

    Financial integration has strong implications for financial stability. On the one hand, financial integration among economies helps to improve their capacity to absorb shocks and foster development. On the other hand, intensified financial linkages in a world of increasing capital mobility may also harbour the risk of cross-border financial contagion. This paper provides a survey of high-frequency indicators to monitor the development of equity market integration in Asia. The results show that after slowing down between 2002 and 2006, the equity market integration process picked up again in 2007-08. Nevertheless, the process is not complete and the degrees of integration between mature and emerging equity markets are different. The divergence may be attributed to the difference in the political, economic and institutional aspects across jurisdictions in Asia.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 34 (2010)
    Issue (Month): 12 (December)
    Pages: 2874-2885

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    Handle: RePEc:eee:jbfina:v:34:y:2010:i:12:p:2874-2885

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Financial integration Cointegration Common component Synchronisation Dynamic correlation;

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    Cited by:
    1. Alexander Ludwig, 2014. "What results can we expect from rolling trace tests? A discussion based on the issue of stock market integration," Economics Bulletin, AccessEcon, vol. 34(1), pages 16-24.
    2. Sagarika Mishra & Paresh Kumar Narayan, 2010. "Do Market Capitalisation and Stocks Traded Converge? New Global Evidence," Economics Series 2010_11, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    3. Frijns, Bart & Tourani-Rad, Alireza & Indriawan, Ivan, 2012. "Political crises and the stock market integration of emerging markets," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 644-653.
    4. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
    5. Lean, Hooi Hooi & Teng, Kee Tuan, 2013. "Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach," Economic Modelling, Elsevier, vol. 32(C), pages 333-342.
    6. 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.
    7. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
    8. Jun Nagayasu, 2013. "A dynamic factor approach to domestic capital mobility," Empirical Economics, Springer, vol. 44(2), pages 685-700, April.
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    12. Nagayasu, Jun, 2010. "Domestic Capital Mobility: A Panel Data Approach," MPRA Paper 27720, University Library of Munich, Germany.

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