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Are domestic Asian markets integrated with the regional one? An empirical assessment

Author

Listed:
  • Khaled Guesmi

    (Economix)

Abstract

This article investigates the evolution of the Asian stock market integration with the regional one. First, we estimate the time-varying degree of Asian market integration using conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH para-meters. Secondly, we study the structural breaks in these series. Finally, we relate the ob-tained results to important facts and economic events.

Suggested Citation

  • Khaled Guesmi, 2011. "Are domestic Asian markets integrated with the regional one? An empirical assessment," Economics Bulletin, AccessEcon, vol. 31(1), pages 1-5.
    • Handle: RePEc:ebl:ecbull:eb-11-00067
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    File URL: http://www.accessecon.com/pubs/EB/2011/Volume31/EB-11-V31-I1-A5.pdf
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    More about this item

    Keywords

    Time-varying Integration; Emerging Markets; ICAPM; Risk Premium; DCC-GARCH.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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