Does economic integration lead to financial market integration in the Asian region?

被引：12
|
作者：
Song, Yuegang [1 ]
Huang, Ruixian [2 ]
Paramati, Sudharshan Reddy [3 ]
Zakari, Abdulrasheed [4 ,5 ]
机构：
[1] Henan Normal Univ, Business Sch, Xinxiang 453007, Henan, Peoples R China
[2] East China Univ Polit Sci & Law, Business Sch, Shanghai, Peoples R China
[3] Univ Dundee, Sch Business, Dundee, Scotland
[4] Beijing Inst Technol, Beijing, Peoples R China
[5] Alma Mater Europaea ECM, Maribor, Slovenia
来源：
ECONOMIC ANALYSIS AND POLICY | 2021年 / 69卷
关键词：
Economic integration; Stock market co-movements; GFC; AGDCC-GARCH; Asia; UNIT-ROOT TESTS; PANEL-DATA; INTERDEPENDENCE; AUSTRALIA; LINKAGES;
D O I：
10.1016/j.eap.2020.12.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study empirically examines the impact of economic integration on stock market co-movements of India with major Asian markets such as China, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, and Thailand. We collect daily data on stock market indices from September 1999 to December 2017. The asymmetric generalised dynamic conditional correlation GARCH model is applied to estimate the time-varying conditional correlations among the various stock markets. Next, the panel autoregressive distributed lag method is applied to investigate the impact of economic integration on stock market co-movements. Our results show that economic integration has a significant positive impact on stock market co-movements in the region. The results also provide supporting evidence that the global financial crisis positively contributed to stock market interdependence in the Asian region. (c) 2020 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：366 / 377
页数：12
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