Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe
Bibliographic Data
| ID | 12968030 |
|---|---|
| Authors | Geesun Lee (Korea University, corresponding author), Jinho Jeong (0000-0002-5917-1168, Korea University) |
| Year | 2014 |
| Volume | 6 |
| Issue | 1 |
| Publication date | 2014-01-15 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Review of European Studies (JOURNAL) |
| Journal identifiers | ISSN: 1918-7173 • E-ISSN: 1918-7181 |
| Publisher | Canadian Center of Science and Education (PUBLISHER) |
| DOI | 10.5539/res.v6n1p61 |
| OpenAlex | W2079297646 |
| Language | EN |
| Citations received | 2 |
| References cited | 7 |
This study examines the effect of financial crisis on the level of stock market integration. In particular, we investigated the dynamic movements of two regional stock markets, Northeast Asia and Europe during the period between January 1st, 2000 and December 31st, 2012, with particular attention placed on the global financial crisis (GFC). For this purpose, the paper employs various approaches including DCC-MGARCH, Risk Decomposition, GVAR, and CCOR models to ensure the robustness of empirical findings. The findings of this study are as follows. First, the Northeast Asian stock market remains independent from the European and global stock market movements during the sample period. Second, the European stock market shows an increasing trend of joint integration with Northeast Asian stock market. However, the level of integration is not economically significant. Third, the level of market integration between European and global stock markets had temporally increased during the GFC. However, the level returned to its pre-crisis level in the post-crisis era. The overall empirical evidence suggests that, for either European or global stock market portfolio, constructing a portfolio with Northeast Asian stock market would result in a more efficient portfolio. The results in this paper do not support the view of previous empirical studies which suggested the increased level of integration since the GFC. An increased integration is found to be only unique to the crisis period. In sum, the market integration is a dynamic process, and the financial crisis did not uniformly affect the level of stock market integration
Business · Economics · Empirical research · Financial crisis · Financial economics · Financial Integration · Financial market · Financial system · Geography · Macroeconomics · Market depth · Market integration · Portfolio · Stock (firearms · Stock market · Stock market bubble · Stock market index · Financial Risk and Volatility Modeling · Global Financial Crisis and Policies · Market Dynamics and Volatility · Finance
| Citations per year | 0.33 |
|---|---|
| Citation span | 2020 - 2022 (3) |
| Highly cited | No |