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Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets

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Listed:
  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana
  • Kefei You

Abstract

This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean reversion and draw inference on financial integration. It makes a three-fold contribution: it uses not only aggregate but also industry level data on stock returns; it examines the impact of the 2008 crisis; it employs a fractional integration approach to investigate the issues of interest. The evidence suggests that in emerging Asia there is more regional than global integration, and that the former has become even stronger in the post-2008 crisis period.

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2017. "Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets," CESifo Working Paper Series 6477, CESifo Group Munich.
  • Handle: RePEc:ces:ceswps:_6477
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    References listed on IDEAS

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    More about this item

    Keywords

    global and regional integration; Asian stock markets; fractional integration; global financial crisis;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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