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Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries

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  • Rahman, Molla Ramizur
  • Misra, Arun Kumar
  • Lucey, Brian M.
  • Mohapatra, Sabyasachi
  • Kumar, Satish

Abstract

The study attempts to examine the stock market integration for Asia-Pacific countries using networks and forms Risk Adjusted Differential Return (RADR) and Benchmark Indices Network (BIN) indices. The RADR index is higher during the Global Financial Crisis (GFC), indicating a higher level of integration. The inter-country network structure is designed where network parameters are capable of explaining stock market integration. Network parameters are higher during the GFC and are used to form a network index - BIN. This study concludes BIN to be a better measure than RADR, as network parameters are independent of differential index return.

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  • Rahman, Molla Ramizur & Misra, Arun Kumar & Lucey, Brian M. & Mohapatra, Sabyasachi & Kumar, Satish, 2023. "Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    • Handle: RePEc:eee:intfin:v:87:y:2023:i:c:s1042443123000872
    DOI: 10.1016/j.intfin.2023.101819
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    Cited by:

    1. Banerjee, Ameet Kumar & Sensoy, Ahmet & Rahman, Molla Ramizur & Palma, Alessia, 2024. "Commonality in volatility among green, brown, and sustainable energy indices," Finance Research Letters, Elsevier, vol. 64(C).
    2. Rahman, Molla Ramizur & Naeem, Muhammad Abubakr & Yarovaya, Larisa & Mohapatra, Sabyasachi, 2024. "Unravelling systemic risk commonality across cryptocurrency groups," Finance Research Letters, Elsevier, vol. 65(C).
    3. Rahman, Molla Ramizur & Misra, Arun Kumar & Kumar, Satish, 2024. "A financial supply chain on corporate working capital and interbank lines of credit," International Review of Financial Analysis, Elsevier, vol. 91(C).
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    More about this item

    Keywords

    Stock-market integration; Asia-Pacific region; Network structure; Differential return;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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