Does economic integration lead to financial market integration in the Asian region?

Yuegang Song, Ruixian Huang (Lead / Corresponding author), Sudharshan Reddy Paramati (Lead / Corresponding author), Abdulrasheed Zakari

Research output: Contribution to journalArticlepeer-review

Abstract

This study empirically examines the impact of economic integration on stock market co-movements of India with major Asian markets such as China, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, and Thailand. We collect daily data on stock market indices from September 1999 to December 2017. The asymmetric generalised dynamic conditional correlation GARCH model is applied to estimate the time-varying conditional correlations among the various stock markets. Next, the panel autoregressive distributed lag method is applied to investigate the impact of economic integration on stock market co-movements. Our results show that economic integration has a significant positive impact on stock market co-movements in the region. The results also provide supporting evidence that the global financial crisis positively contributed to stock market interdependence in the Asian region.
Original languageEnglish
Pages (from-to)366-377
Number of pages12
JournalEconomic Analysis and Policy
Volume69
Early online date4 Dec 2020
DOIs
Publication statusE-pub ahead of print - 4 Dec 2020

Keywords

  • Economic integration
  • Stock market co-movements
  • GFC
  • AGDCC-GARCH
  • Asia

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