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Time Varying Asian Stock Market Integration

Author

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  • JONATHAN A. BATTEN

    (Department of Finance, Monash University, Building H, Level 3, Caulfield Campus, Victoria, Australia)

  • PETER MORGAN

    (Asia Development Bank Institute, Kasumigaseki Building, 8F, 3-2-5 Kasumigaseki, Chiyoda-ku, Tokyo 100-6008, Japan)

  • PETER G. SZILAGYI

    (Central European University, 1051 Budapest, Nádor utca 9, Hungary;
    Judge Business School, University of Cambridge, Trumpington Street, Cambridge, CB2 1AG, United Kingdom)

Abstract

We employ an asset pricing framework with varying estimation lengths to show that there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is consistent with prior studies and highlights the impact of recent regulatory and economic reform undertaken throughout the region. Our results show that instability in the asset variance structure underpins the observed varying degrees of financial market integration. In particular, modeling integration using shorter estimation periods helps explain the time varying nature of financial market integration and the benefits that may accrue to international and domestic investors.

Suggested Citation

  • Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015. "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-24.
    • Handle: RePEc:wsi:serxxx:v:60:y:2015:i:01:n:s021759081550006x
    DOI: 10.1142/S021759081550006X
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    More about this item

    Keywords

    Asia-Pacific; financial market integration; international asset pricing; systematic risk; market risk; F15; F2; F36; G10; G15;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F2 - International Economics - - International Factor Movements and International Business
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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