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East Asian Capital Markets: Integration and Convergence

Author

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  • Yana Valeryevna Dyomina

    (Economic Research Institute FEB RAS)

Abstract

The article examines the interdependence of East Asian stock and bond markets. Hierarchical cluster analysis of bond markets of ten regional countries shows that the most similar ones are the following: Indonesia, Malaysia, the Philippines and Singapore. In 2006-2009 Thailand also belonged with this group, however, since 2010 it is a separate cluster. The second cluster includes Hong Kong, the Republic of Korea and China, the third one - Japan, the fourth one - Vietnam. As for regional equity markets, the study shows that regional stock indices respond to the dynamics of American ones to a greater extent than to the dynamics of each other. In addition, Asian indices’ interconnection is chiefly negative. To assess stock indices’ convergence the author employs cluster analysis which divides 16 studied stock exchanges in 7 different groups. According to the obtained results, the author concludes that integration of regional capital markets is the long-term goal. Besides, markets’ integration will be easier and faster within clusters; inter-cluster mergers will be the next step. The basic problem here arises from the Japanese market, which, in the case of forced or ill-conceived program of events, will absorb all other markets or end up outside the integration processes.

Suggested Citation

  • Yana Valeryevna Dyomina, 2016. "East Asian Capital Markets: Integration and Convergence," Spatial Economics=Prostranstvennaya Ekonomika, Economic Research Institute, Far Eastern Branch, Russian Academy of Sciences (Khabarovsk, Russia), issue 3, pages 81-104.
    • Handle: RePEc:far:spaeco:y:2016:i:3:p:81-104
    DOI: 10.14530/se.2016.3.081-104
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    Cited by:

    1. Yana Valeryevna Dyomina, 2018. "The Effect of Currency Policy on Portfolio Investments in East Asia Countries," Spatial Economics=Prostranstvennaya Ekonomika, Economic Research Institute, Far Eastern Branch, Russian Academy of Sciences (Khabarovsk, Russia), issue 2, pages 74-91.

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