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Regional and global integration of Asian stock markets

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  • Mohti, Wahbeeah
  • Dionísio, Andreia
  • Vieira, Isabel
  • Ferreira, Paulo

Abstract

This paper assesses the levels of regional and global stock market integration of emerging and frontier Asian countries. The long run relationships established amongst markets are investigated using Gregory and Hansen’s cointegration tests and Detrended Cross Correlation coefficients. The results of the empirical analysis indicate that all considered emerging markets display some evidence of both global and regional integration. In the case of frontier markets, however, this is true solely for Pakistan and, to a lesser extent, for Vietnam. These results are of interest, inter alia, to international investors interested in expanding the geographical scope of portfolio diversification strategies.

Suggested Citation

  • Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Regional and global integration of Asian stock markets," Research in International Business and Finance, Elsevier, vol. 50(C), pages 357-368.
    • Handle: RePEc:eee:riibaf:v:50:y:2019:i:c:p:357-368
    DOI: 10.1016/j.ribaf.2019.06.003
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    More about this item

    Keywords

    Emerging markets; Frontier markets; Stock market integration; Detrended cross correlation analysis (DCCA); Gregory and Hansen cointegration test;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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