Regional and global integration of Asian stock markets

Abstract 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.

• Publication year

  2019

• Venue

  Research In International Business and Finance

• Publication date

  2019-12-01

• Fields of study

  Business, Economics

• Identifiers
  DOI 10.1016/J.RIBAF.2019.06.003
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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