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Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests


  • Guglielmo Maria Caporale
  • Kefei You


This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no integration/convergence of any kind is found. By contrast, in the post-crisis period, the Asian stock markets appear to be integrated both globally and regionally at the aggregate level; at the industry level, there is evidence of both global and regional integration in 6 out of 10 cases, the exceptions being Financials and Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel convergence is not found for the pre-crisis period and for the Gas & Oil and Technology sectors in the post-crisis period.

Suggested Citation

  • Guglielmo Maria Caporale & Kefei You, 2017. "Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests," Discussion Papers of DIW Berlin 1669, DIW Berlin, German Institute for Economic Research.
  • Handle: RePEc:diw:diwwpp:dp1669

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    References listed on IDEAS

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    More about this item


    Asian stock markets; global and regional integration; Phillips-Sul tests; panel and club convergence;

    JEL classification:

    • 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
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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