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Are Asian Markets Integrated? Evidence for Six Countries Vis-A-Vis Japan

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  • Imad Moosa
  • Razzaque Bhatti
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    Abstract

    This paper presents some empirical evidence on the degree of integration between the goods and financial markets of Japan and six Asian countries. The evidence is obtained by testing two international parity conditions using unconventional specifications: uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The results of cointegration tests are strongly supportive of the two conditions over the period 1980-1994. The paper concludes that Asian goods and financial markets have reached a high level of integration. [G14]

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/10168739700000004
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    Article provided by Taylor & Francis Journals in its journal International Economic Journal.

    Volume (Year): 11 (1997)
    Issue (Month): 1 ()
    Pages: 51-67

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    Handle: RePEc:taf:intecj:v:11:y:1997:i:1:p:51-67
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    Cited by:

    1. Khan, Muhammad Arshad & Sajid, Muhammad Zubair, 2007. "Integration of Financial Markets in SAARC Countries: Evidence Based on Uncovered Interest rate Parity Hypothesis," MPRA Paper 6751, University Library of Munich, Germany.
    2. Ling, Tai-Hu & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Real interest rates equalization: The case of Malaysia and Singapore," MPRA Paper 515, University Library of Munich, Germany.
    3. Khalid Kisswani & Salah Nusair, 2014. "Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries," Economic Change and Restructuring, Springer, vol. 47(3), pages 155-186, August.
    4. Min, Hong-Ghi & McDonald, Judith A. & Choung, Jaeyong, 2003. "Dynamic capital mobility, capital-market risk, and contagion: evidence from seven Asian countries," Japan and the World Economy, Elsevier, vol. 15(2), pages 161-183, April.
    5. Kavita Sirichand & Andrew Vivian & Mark E.Wohar, 2014. "Examining real interest parity: which component reverts quickest and in which regime?," Discussion Paper Series 2014_05, Department of Economics, Loughborough University, revised Jul 2014.
    6. Surbhi Jain & N.R. Bhanumurthy, 2005. "Financial markets integration in India," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 12(2), pages 15-32, December.
    7. Hong G. Min, 1998. "Dynamic capita mobility, capital market risk, and exchange rate misalignment : evidence from seven Asian Countries," Policy Research Working Paper Series 2025, The World Bank.
    8. Dr James Laurenceson, 2003. "Economic Integration Between China And ASEAN," Discussion Papers Series 329, School of Economics, University of Queensland, Australia.
    9. Hong G. Min & McDonald, Judith A., 1999. "Does a thin foreign exchange market lead to destabilizing capital-market speculation in the Asian Crisis countries?," Policy Research Working Paper Series 2056, The World Bank.

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