Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes
- 주제(키워드) Asian-Pacific stock market , integration , regime change , smooth transition autoregressive model
- 등재 SSCI, SCOPUS
- 발행기관 ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- 발행년도 2015
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000118549
- 본문언어 영어
- Published As http://dx.doi.org/10.1080/1540496X.2015.1026726
초록/요약
This work provides new evidence of Asia-Pacific stock market integration by incorporating the regime changes of each stock market through the smooth transition autoregressive (STAR) model. According to empirical results, most Asia-Pacific stock market returns follow STAR dynamics to a significant degree with more rapid and frequent regime changes of a shorter nature compared with G7 markets. A series of STAR-based Granger causality tests reveal evidence of stronger equity market integration compared with linear Granger causality tests. We also find that Asia-Pacific stock markets are integrated in different levels. Finally, we provide evidence that in the early twenty-first century the influence of China and the United States on Asia-Pacific stock markets has been maintained while that of Japan has been weakened.
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