Assessing Financial Market Integration In Asia - Equity Markets
AbstractFinancial integration has strong implications for financial stability. On the one hand, financial integration among economies helps 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 indicators to monitor the development, measure progress and assess the state of equity market integration in Asia. A combined use of these indicators would provide information on different dimensions of integration and thus give regulators a more balanced picture of the general trend of equity market integration in the region. Our empirical results broadly show that a lot of progress has been witnessed between 1994 and 2001 in achieving greater integration among the Asian equity markets. However, the extent of financial integration remains weak and the integration process appears to have stalled since 2002.
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Bibliographic InfoPaper provided by Hong Kong Monetary Authority in its series Working Papers with number 0704.
Length: 37 pages
Date of creation: Apr 2007
Date of revision:
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Financial integration; Kalman filter; Cointegration; Common component; Synchronisation; Dynamic correlation;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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