Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets

34 Pages Posted: 13 Jun 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)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Kefei You

University of Greenwich

Date Written: May 23, 2017

Abstract

This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean reversion and draw inference on financial integration. It makes a three-fold contribution: it uses not only aggregate but also industry level data on stock returns; it examines the impact of the 2008 crisis; it employs a fractional integration approach to investigate the issues of interest. The evidence suggests that in emerging Asia there is more regional than global integration, and that the former has become even stronger in the post-2008 crisis period.

Keywords: Global and Regional Integration, Asian Stock Markets, Fractional Integration, Global Financial Crisis

JEL Classification: F310, C220, C320

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and You, Kefei, Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets (May 23, 2017). CESifo Working Paper Series No. 6477, Available at SSRN: https://ssrn.com/abstract=2985329

Guglielmo Maria Caporale (Contact Author)

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

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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

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

Kefei You

University of Greenwich ( email )

30 Park Row
Greenwich
London, SE10 9LS
United Kingdom

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