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Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes

Title
Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes
Authors
Kim S.-W.Kim Y.-M.Choi M.-J.
Ewha Authors
김세완
SCOPUS Author ID
김세완scopus
Issue Date
2015
Journal Title
Emerging Markets Finance and Trade
ISSN
1540-496XJCR Link
Citation
vol. 51, pp. S68 - S88
Keywords
Asian-Pacific stock marketintegrationregime changesmooth transition autoregressive model
Publisher
Routledge
Indexed
SSCI; SCOPUS WOS scopus
Abstract
This work provides new evidence of Asia-Pacific stock market integration by incorporating the regime changes of each stock market through the smooth transition autoregressive (STAR) model. According to empirical results, most Asia-Pacific stock market returns follow STAR dynamics to a significant degree with more rapid and frequent regime changes of a shorter nature compared with G7 markets. A series of STAR-based Granger causality tests reveal evidence of stronger equity market integration compared with linear Granger causality tests. We also find that Asia-Pacific stock markets are integrated in different levels. Finally, we provide evidence that in the early twenty-first century the influence of China and the United States on Asia-Pacific stock markets has been maintained while that of Japan has been weakened. Copyright © 2015 Taylor & Francis Group, LLC.
DOI
10.1080/1540496X.2015.1026726
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
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