Time varying Asian stock market integration

Jonathan Andrew Batten, Peter J Morgan, Peter Szilagyi

    Research output: Contribution to journalArticleResearchpeer-review

    5 Citations (Scopus)

    Abstract

    We employ an asset pricing framework with varying estimation lengths to show that there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is consistent with prior studies and highlights the impact of recent regulatory and economic reform undertaken throughout the region. Our results show that instability in the asset variance structure underpins the observed varying degrees of financial market integration. In particular, modeling integration using shorter estimation periods helps explain the time varying nature of financial market integration and the benefits that may accrue to international and domestic investors.
    Original languageEnglish
    Pages (from-to)1 - 24
    Number of pages24
    JournalSingapore Economic Review
    Volume60
    Issue number1
    DOIs
    Publication statusPublished - 2015

    Cite this

    Batten, Jonathan Andrew ; Morgan, Peter J ; Szilagyi, Peter. / Time varying Asian stock market integration. In: Singapore Economic Review. 2015 ; Vol. 60, No. 1. pp. 1 - 24.
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    Batten, JA, Morgan, PJ & Szilagyi, P 2015, 'Time varying Asian stock market integration', Singapore Economic Review, vol. 60, no. 1, pp. 1 - 24. https://doi.org/10.1142/S021759081550006X

    Time varying Asian stock market integration. / Batten, Jonathan Andrew; Morgan, Peter J; Szilagyi, Peter.

    In: Singapore Economic Review, Vol. 60, No. 1, 2015, p. 1 - 24.

    Research output: Contribution to journalArticleResearchpeer-review

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