Are Domestic Asian Markets Integrated with the Regional One? An Empirical Assessment

11 Pages Posted: 2 Feb 2011

See all articles by Khaled Guesmi

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change

Date Written: February 1, 2011

Abstract

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

Guesmi, Khaled, Are Domestic Asian Markets Integrated with the Regional One? An Empirical Assessment (February 1, 2011). Available at SSRN: https://ssrn.com/abstract=1752963 or http://dx.doi.org/10.2139/ssrn.1752963

Khaled Guesmi (Contact Author)

PSB Paris School of Business - Center of Research for Energy and Climate Change ( email )

France

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