Stock Market Linkages in Emerging Asia-Pacific Markets
Bibliographic Data
| ID | 3568990 |
|---|---|
| Authors | P Srinivasan (0000-0001-8167-4119, Christ University), Srinivasan Palamalai, Kalaivani M, Mani Kalaivani (0000-0002-3593-1417), Christopher Devakumar (Christ University) |
| Year | 2013 |
| Volume | 3 |
| Issue | 4 |
| Pages | 3/4/2158244013514060 |
| Publication date | 2013-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | SAGE Open (JOURNAL) |
| Journal identifiers | ISSN: 2158-2440 • E-ISSN: 2158-2440 |
| Publisher | SAGE Publications Inc (PUBLISHER) |
| DOI | 10.1177/2158244013514060 |
| OpenAlex | W2137283266 |
| Language | EN |
| Citations received | 3 |
| References cited | 41 |
This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China, and Indonesia. The Johansen and Juselius multivariate cointegration test, Granger causality/Block exogeneity Wald test based on the vector error correction model (VECM) approach, and variance decomposition analysis were used to investigate the dynamic linkages between markets. Cointegration test confirmed a well-defined long-run equilibrium relationship among the major stock markets, implying that there exists a common force, such as arbitrage activity, which brings these stock markets together in the long run. The results of Granger causality/Block exogeneity Wald test based on VECM and variance decomposition analysis revealed the stock market interdependencies and dynamic interactions among the selected emerging Asia-Pacific economies. This result implies that investors can gain feasible benefits from international portfolio diversification in the short run. On the whole, the study results suggest that although long-term diversification benefits from exposure to these markets might be limited, short-run benefits might exist due to substantial transitory fluctuations
Business · Cointegration · Econometrics · Economics · Emerging markets · Endogeneity · Error correction model · Financial economics · Geography · Granger causality · Johansen test · Macroeconomics · Monetary economics · Portfolio · Short run · Stock market · Variance decomposition of forecast errors · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Market Dynamics and Volatility
Modeling and Forecasting Realized Volatility
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control
Statistical analysis of cointegration vectors
| Citations per year | 0.5 |
|---|---|
| Citation span | 2020 - 2025 (6) |
| Highly cited | No |