Are Domestic Asian Markets Integrated with the Regional One? An Empirical Assessment
11 Pages Posted: 2 Feb 2011
Date Written: February 1, 2011
This article investigates the evolution of the Asian stock market integration with the regional one. First, we estimate the time-varying degree of Asian market integration using conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH parameters. Secondly, we study the structural breaks in these series. Finally, we relate the obtained results to important facts and economic events.
Keywords: Time-varying Integration, Emerging Markets, ICAPM, Risk Premium, DCC-GARCH.
JEL Classification: C32, F36, G11
Suggested Citation: Suggested Citation