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Market integration and extreme co-movements in APEC emerging equity markets

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  • Xiao-Ming Li
  • Lawrence Rose

Abstract

Extreme market co-movements in the context of time-varying market integration are investigated for APEC emerging equity markets using the concept of extreme correlation. We show that both foreign and domestic portfolio investments have contributed to extreme market movements; and extreme correlation is time-varying and dependent on local and regional market integrations. However, the relationship between market integration and extreme correlation varies across markets.

Suggested Citation

  • Xiao-Ming Li & Lawrence Rose, 2007. "Market integration and extreme co-movements in APEC emerging equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(2), pages 99-113.
  • Handle: RePEc:taf:apfiec:v:18:y:2007:i:2:p:99-113 DOI: 10.1080/09603100601057870
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    Cited by:

    1. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010. "Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.
    2. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, pages 1060-1075.
    3. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.

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