We provide new evidence of stock market integration in the Asia-Pacific region by incorporating regime changes of stock market through the smooth transition autoregressive (STAR) model. According to empirical results, most Asia-Pacific regional stock market returns follow STAR
dynamics to a significant degree with more rapid and frequent regime changes of a shorter nature compared to G7 markets. We also find that the STAR model is a more appropriate framework in endogenously incorporating regime changes. A series of STAR based Granger causality tests reveal evidence of stronger equity market integration compared to linear Granger causality tests along with a different level of equity market integration over Asia-Pacific blocs. This work also finds a few countries’ stock markets worth considering as a method for achieving international diversification. Lastly, we find evidence that the influence of China and U.S. on Asia-Pacific stock markets has been maintained in early 21st century.
Keywords: Asian-Pacific Stock Market, Regional Integration, Nonlinearities, Smooth Transition Autoregressive Model.
학술대회/행사
학술대회 및 야외답사
학술대회/행사
[2013년 제 1차] Asia-Pacific Stock Market Integration: New Evidence
작성자 : 관리자
조회수 : 886
게시일 :
2013-03-04