Regional and global integration of Asian stock markets

[Display omitted] This paper assesses the levels of regional and global stock market integration of emerging and frontier Asian countries. The long run relationships established amongst markets are investigated using Gregory and Hansen’s cointegration tests and Detrended Cross Correlation coefficien...

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Bibliographic Details
Published in:Research in international business and finance 2019-12, Vol.50, p.357-368
Main Authors: Mohti, Wahbeeah, Dionísio, Andreia, Vieira, Isabel, Ferreira, Paulo
Format: Article
Language:English
Subjects:
Detrended cross correlation analysis (DCCA)
Emerging markets
Frontier markets
Gregory and Hansen cointegration test
Stock market integration
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Summary:[Display omitted] This paper assesses the levels of regional and global stock market integration of emerging and frontier Asian countries. The long run relationships established amongst markets are investigated using Gregory and Hansen’s cointegration tests and Detrended Cross Correlation coefficients. The results of the empirical analysis indicate that all considered emerging markets display some evidence of both global and regional integration. In the case of frontier markets, however, this is true solely for Pakistan and, to a lesser extent, for Vietnam. These results are of interest, inter alia, to international investors interested in expanding the geographical scope of portfolio diversification strategies.
ISSN:0275-5319
1878-3384
DOI:10.1016/j.ribaf.2019.06.003