Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김세완 | * |
dc.date.accessioned | 2016-08-29T12:08:20Z | - |
dc.date.available | 2016-08-29T12:08:20Z | - |
dc.date.issued | 2015 | * |
dc.identifier.issn | 1540-496X | * |
dc.identifier.other | OAK-15317 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/230707 | - |
dc.description.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. | * |
dc.language | English | * |
dc.publisher | Routledge | * |
dc.subject | Asian-Pacific stock market | * |
dc.subject | integration | * |
dc.subject | regime change | * |
dc.subject | smooth transition autoregressive model | * |
dc.title | Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes | * |
dc.type | Article | * |
dc.relation.volume | 51 | * |
dc.relation.index | SSCI | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | S68 | * |
dc.relation.lastpage | S88 | * |
dc.relation.journaltitle | Emerging Markets Finance and Trade | * |
dc.identifier.doi | 10.1080/1540496X.2015.1026726 | * |
dc.identifier.wosid | WOS:000357812200007 | * |
dc.identifier.scopusid | 2-s2.0-84960078118 | * |
dc.author.google | Kim S.-W. | * |
dc.author.google | Kim Y.-M. | * |
dc.author.google | Choi M.-J. | * |
dc.contributor.scopusid | 김세완(23028335600) | * |
dc.date.modifydate | 20231120163047 | * |