IDEAS home Printed from https://ideas.repec.org/a/mbr/jmonec/v12y2017i1p73-88.html

An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets

Author

Listed:
  • Fegheh Majidi, Ali

    (University of Kurdistan)

  • Mohammadi, Ahmad

    (University of Kurdistan)

  • Nanvay Sabegh, Behnaz

    (University of Kurdistan)

Abstract

The capital market in each country is considered as the most important part of the economy and its fluctuations may reflect the economic situation of the country. In this paper, the hypothesis of convergence of stock market price indices in Asian countries during the period from January 2007 to February

Suggested Citation

  • Fegheh Majidi, Ali & Mohammadi, Ahmad & Nanvay Sabegh, Behnaz, 2017. "An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(1), pages 73-88, January.
  • Handle: RePEc:mbr:jmonec:v:12:y:2017:i:1:p:73-88
    as

    Download full text from publisher

    File URL: http://jme.mbri.ac.ir/article-1-246-en.pdf
    Download Restriction: no

    File URL: http://jme.mbri.ac.ir/article-1-246-en.html
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Peter C. B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
    2. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
    3. William Easterly & Ross Levine, 1997. "Africa's Growth Tragedy: Policies and Ethnic Divisions," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(4), pages 1203-1250.
    4. Bernard, Andrew B. & Durlauf, Steven N., 1996. "Interpreting tests of the convergence hypothesis," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 161-173.
    5. Karan Bhanot, 2006. "Anatomy of a Government Intervention in Index Stocks: Price Pressure or Information Effects?," The Journal of Business, University of Chicago Press, vol. 79(2), pages 963-986, March.
    6. Ferreira, Miguel A. & Gama, Paulo M., 2005. "Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(1), pages 195-222, March.
    7. Ulrich Fritsche & Vladimir Kuzin, 2011. "Analysing convergence in Europe using the non-linear single factor model," Empirical Economics, Springer, vol. 41(2), pages 343-369, October.
    8. Brown, Stephen P. A. & Yucel, Mine K., 2002. "Energy prices and aggregate economic activity: an interpretative survey," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(2), pages 193-208.
    9. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
    10. Adler, Michael & Dumas, Bernard, 1983. "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-984, June.
    11. Simeon Djankov & Tim Ganser & Caralee McLiesh & Rita Ramalho & Andrei Shleifer, 2010. "The Effect of Corporate Taxes on Investment and Entrepreneurship," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 31-64, July.
    12. Nazrul Islam, 2003. "What have We Learnt from the Convergence Debate?," Journal of Economic Surveys, Wiley Blackwell, vol. 17(3), pages 309-362, July.
    13. Alesina, Alberto & Perotti, Roberto, 1994. "The Political Economy of Growth: A Critical Survey of the Recent Literature," The World Bank Economic Review, World Bank, vol. 8(3), pages 351-371, September.
    14. Robert J. Barro & Xavier Sala-i-Martin, 1991. "Convergence across States and Regions," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(1), pages 107-182.
    15. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    16. Campbell, John Y & Hamao, Yasushi, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Journal of Finance, American Finance Association, vol. 47(1), pages 43-69, March.
    17. Alberto Alesina & Reza Baqir & William Easterly, 1999. "Public Goods and Ethnic Divisions," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(4), pages 1243-1284.
    18. Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014. "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 36-58.
    19. Nicholas Apergis & Christina Christou & James Payne, 2011. "Political and Institutional Factors in the Convergence of International Equity Markets: Evidence from the Club Convergence and Clustering Procedure," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 39(1), pages 7-18, March.
    20. Guglielmo Caporale & Burcu Erdogan & Vladimir Kuzin, 2015. "Testing stock market convergence: a non-linear factor approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 481-498, August.
    21. Miguel Almeida Ferreira & Miguel Ângelo Ferreira, 2006. "The Importance of Industry and Country Effects in the EMU Equity Markets," European Financial Management, European Financial Management Association, vol. 12(3), pages 341-373, June.
    22. Peter C. B. Phillips & Donggyu Sul, 2009. "Economic transition and growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1153-1185, November.
    23. Levon Barseghyan & Riccardo DiCecio, 2010. "Institutional causes of output volatility," Review, Federal Reserve Bank of St. Louis, vol. 92(May), pages 205-224.
    24. Anthony Boardman & Claude Laurin, 2000. "Factors affecting the stock price performance of share issued privatizations," Applied Economics, Taylor & Francis Journals, vol. 32(11), pages 1451-1464.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Guglielmo Caporale & Burcu Erdogan & Vladimir Kuzin, 2015. "Testing stock market convergence: a non-linear factor approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 481-498, August.
    2. Nicholas Apergis & Christina Christou & James Payne, 2011. "Political and Institutional Factors in the Convergence of International Equity Markets: Evidence from the Club Convergence and Clustering Procedure," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 39(1), pages 7-18, March.
    3. Caporale, Guglielmo Maria & You, Kefei & Chen, Lei, 2019. "Global and regional stock market integration in Asia: A panel convergence approach," International Review of Financial Analysis, Elsevier, vol. 65(C).
    4. Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014. "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 36-58.
    5. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-linear Factor Approach," Discussion Papers of DIW Berlin 932, DIW Berlin, German Institute for Economic Research.
    6. Niţoi, Mihai & Pochea, Maria Miruna, 2016. "Testing financial markets convergence in Central and Eastern Europe: A non-linear single factor model," Economic Systems, Elsevier, vol. 40(2), pages 323-334.
    7. Guglielmo Maria Caporale & Kefei You, 2017. "Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests," CESifo Working Paper Series 6494, CESifo.
    8. Rughoo, Aarti & You, Kefei, 2016. "Asian financial integration: Global or regional? Evidence from money and bond markets," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 419-434.
    9. Monfort, Mercedes & Cuestas, Juan Carlos & Ordóñez, Javier, 2013. "Real convergence in Europe: A cluster analysis," Economic Modelling, Elsevier, vol. 33(C), pages 689-694.
    10. Cavallaro, Eleonora & Villani, Ilaria, 2021. "Real income convergence and the patterns of financial integration in the EU," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    11. Tam, Pui Sun & Tam, Pui I., 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers 2012-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. repec:hum:wpaper:sfb649dp2012-052 is not listed on IDEAS
    13. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    14. Mihály Borsi & Norbert Metiu, 2015. "The evolution of economic convergence in the European Union," Empirical Economics, Springer, vol. 48(2), pages 657-681, March.
    15. George A. Matysiak & Krzysztof Olszewski, 2019. "A panel analysis of Polish regional cities: residential price convergence in the primary market," NBP Working Papers 316, Narodowy Bank Polski.
    16. Nasim Iranmanesh, 2025. "Analysis of financial convergence between the BRICS and OECD countries," PLOS ONE, Public Library of Science, vol. 20(2), pages 1-53, February.
    17. Rughoo, Aarti & Sarantis, Nicholas, 2014. "The global financial crisis and integration in European retail banking," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 28-41.
    18. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
    19. Linda Glawe & Helmut Wagner, 2021. "Divergence Tendencies in the European Integration Process: A Danger for the Sustainability of the E(M)U?," JRFM, MDPI, vol. 14(3), pages 1-22, March.
    20. Amélie Charles & Olivier Darne & Jean-François Hoarau, 2012. "Convergence of real per capita GDP within COMESA countries: A panel unit root evidence," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 49(1), pages 53-71, August.
    21. Charles Shaaba Saba & Oladipo Olalekan David, 2023. "Identifying Convergence in Telecommunication Infrastructures and the Dynamics of Their Influencing Factors Across Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(2), pages 1413-1466, June.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mbr:jmonec:v:12:y:2017:i:1:p:73-88. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: P. R. (email available below). General contact details of provider: https://www.mbri.ac.ir/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.