Market integration and extreme co-movements in APEC emerging equity markets
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.
Volume (Year): 18 (2007)
Issue (Month): 2 ()
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