Global and regional financial integration in East Asia and the ASEAN

Date

2018-11

Authors

Fry-McKibbin, Renee
Hsiao, Cody Yu-Ling
Martin, Vance L

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

Financial integration is East Asia and the ASEAN nations is investigated using a new approach based on entropy theory. An important advantage of the proposed framework is that it takes into account changes in integration arising from higher order moments including coskewness and cokurtosis as well as more traditional measures based on second order moments. The analysis focusses on the role of the U.S. in understanding changes in global integration over time, as well as changes in regional integration arising from China. Using daily stock returns from 1997 to 2016, the empirical results show an overall trend to improvements in financial integration over time with deviations from the trend occurring during periods of financial crises in Asia in 1997–98, the U.S. in 2007–10 and the recent European debt crisis. The influence of the Chinese economy mainly through its trading linkages is found to be an important determinant of financial integration over time both regionally as well as globally.

Description

Keywords

Integration, Entropy, East Asia, ASEAN, China

Citation

Source

North American Journal of Economics and Finance

Type

Journal article

Book Title

Entity type

Access Statement

Open Access

License Rights

Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0)

DOI

10.1016/j.najef.2018.04.007

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