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Equity market integration in the Asia Pacific region: Evidence from discount factors

  • Claus, Edda
  • Lucey, Brian M.

The paper investigates stock market integration among 10 economies in the Asia Pacific region over the period April to May 2006 based on a recently developed technique that relies on estimating expected discount rates; see Flood and Rose (2005a,b). The results show a limited but varying degree of stock market integration among the 10 economies. Membership in a formal economic organization does not seem to affect the degree of integration.

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Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 26 (2012)
Issue (Month): 2 ()
Pages: 137-163

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Handle: RePEc:eee:riibaf:v:26:y:2012:i:2:p:137-163
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  9. Robert P. Flood & Andrew K. Rose, 2005. "Financial Integration: A New Methodology And An Illustration," Journal of the European Economic Association, MIT Press, vol. 3(6), pages 1349-1359, December.
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  11. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2006. "Growth volatility and financial liberalization," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 370-403, April.
  12. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
  13. Xiao-Ming Li, 2006. "A Revisit Of International Stock Market Linkages: New Evidence From Rank Tests For Nonlinear Cointegration," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(2), pages 174-197, 05.
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  19. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  20. Chae-Shick Chung & Chong Ook Rhee, 2002. "Financial Linkage in East Asian Countries since the East Asian Crisis," Asian Economic Papers, MIT Press, vol. 1(3), pages 122-147.
  21. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
  22. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80.
  23. Philip R. Lane & Gian-Maria Milesi-Ferretti, 2006. "The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970–2004," IMF Working Papers 06/69, International Monetary Fund.
  24. Robert Johnson & Luc Soenen, 2002. "Asian Economic Integration and Stock Market Comovement," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(1), pages 141-157.
  25. Kim, Suk-Joong, 2005. "Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 338-365, September.
  26. David Dickinson, 2000. "Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 261-276.
  27. Wright, Mark L.J., 2005. "On the gains from international financial integration," Economics Letters, Elsevier, vol. 87(3), pages 379-386, June.
  28. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  29. Jongkyou Jeon & Yonghyup Oh & Doo Yong Yang, 2006. "Financial Market Integration in East Asia: Regional or Global?," Asian Economic Papers, MIT Press, vol. 5(1), pages 73-89, January.
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