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Dynamics of integration in East Asian equity markets

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dc.contributor.authorKomatsubara, Tadaaki
dc.contributor.authorOkimoto, Tatsuyoshi
dc.contributor.authorTatsumi, Ken-ichi
dc.date.accessioned2021-06-10T04:38:56Z
dc.date.issued2017
dc.date.updated2020-11-23T10:27:23Z
dc.description.abstractThis paper investigates the dynamics of integration in East Asian equity markets between 1995 and 2013 using a smooth-transition correlation GARCH model. Our results show that East Asian equity market integration among China and other countries has increased significantly since 2007, whereas among other East Asian equity markets excluding China increased significantly in an earlier period from 1999 to 2001. Additionally, we find that increasing integration has been mostly caused by correlation increases in aftertrading hours. These results suggest that stock prices in East Asia are sensitive to Europe and US stocks because Europe and US investors are actively investing in East Asian stocks. Indeed, the periods reflect striking increases in integration that correspond approximately to the start of intensive Europe and US investment activity in East Asian stock markets.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0889-1583en_AU
dc.identifier.urihttp://hdl.handle.net/1885/237249
dc.language.isoen_AUen_AU
dc.publisherElsevieren_AU
dc.rights© 2017 Elsevier Incen_AU
dc.sourceJournal of the Japanese and International Economiesen_AU
dc.subjectStock market linkagesen_AU
dc.subjectFinancial integrationen_AU
dc.subjectSmooth transition modelen_AU
dc.subjectDiversification effecten_AU
dc.titleDynamics of integration in East Asian equity marketsen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.lastpage50en_AU
local.bibliographicCitation.startpage37en_AU
local.contributor.affiliationKomatsubara, Tadaaki, Ibbotson Associates Japanen_AU
local.contributor.affiliationOkimoto, Tatsuyoshi, College of Asia and the Pacific, ANUen_AU
local.contributor.affiliationTatsumi, Ken-ichi, Gakushuin Universityen_AU
local.contributor.authoruidOkimoto, Tatsuyoshi, u5577820en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor140210 - International Economics and International Financeen_AU
local.identifier.absfor140305 - Time-Series Analysisen_AU
local.identifier.ariespublicationu4430637xPUB506en_AU
local.identifier.citationvolume45en_AU
local.identifier.doi10.1016/j.jjie.2017.07.002en_AU
local.identifier.scopusID2-s2.0-85026415009
local.publisher.urlhttps://www.elsevier.com/en-auen_AU
local.type.statusPublished Versionen_AU

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