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Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia

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  • Gregory C Chow
  • Shicheng Huang
  • Linlin Niu

Abstract

This paper studies the economic integration of East Asian economies among one another and with the US using co-movement of stock market prices. Both time-varying correlations and regressions are employed. We have traced the increased integration from 1980 to 2011 among the NIEs of Korea, Hong Kong, Taiwan and Singapore, the increase in integration of China since the Shanghai stock market opened in 1990 and the effect of the recent great economic recession of the US on its economic influence on the East Asian economies.

Suggested Citation

  • Gregory C Chow & Shicheng Huang & Linlin Niu, 2013. "Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002042
    as

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    File URL: http://research.soe.xmu.edu.cn/repec/upload/201110894787055475115776.pdf
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    References listed on IDEAS

    as
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    3. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock market linkages in emerging markets: implications for international portfolio diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 91-106, April.
    4. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
    5. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
    6. Y. Angela Liu & Ming-Shiun Pan, 1997. "Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 47-62, March.
    7. Yau, Hwey-Yun & Nieh, Chien-Chung, 2006. "Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate," Journal of Asian Economics, Elsevier, vol. 17(3), pages 535-552, June.
    8. Huang, Bwo-Nung & Yang, Chin-Wei & Hu, John Wei-Shan, 2000. "Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 281-297.
    9. Ghosh, Asim & Saidi, Reza & Johnson, Keith H, 1999. "Who Moves the Asia-Pacific Stock Markets--US or Japan? Empirical Evidence Based on the Theory of Cointegration," The Financial Review, Eastern Finance Association, vol. 34(1), pages 159-170, February.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    economic integration; time-varying regressions; East Asia; China; US; Japan; stock prices.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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