Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests

33 Pages Posted: 22 May 2017

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Kefei You

University of Greenwich

Date Written: May 2017

Abstract

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no integration/convergence of any kind is found. By contrast, in the post-crisis period, the Asian stock markets appear to be integrated both globally and regionally at the aggregate level; at the industry level, there is evidence of both global and regional integration in 6 out of 10 cases, the exceptions being Financials and Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel convergence is not found for the pre-crisis period and for the Gas & Oil and Technology sectors in the post-crisis period.

Keywords: Asian stock markets, global and regional integration, Phillips-Sul tests, panel and club convergence

JEL Classification: C32, C33, G11, G15

Suggested Citation

Caporale, Guglielmo Maria and You, Kefei, Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests (May 2017). DIW Berlin Discussion Paper No. 1669, Available at SSRN: https://ssrn.com/abstract=2972020 or http://dx.doi.org/10.2139/ssrn.2972020

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Kefei You

University of Greenwich ( email )

30 Park Row
Greenwich
London, SE10 9LS
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
82
Abstract Views
743
Rank
543,153
PlumX Metrics