{"title":"Stock market integration in the Asia-Pacific region: Evidence from cointegration of liquidity risk","authors":"Wahyoe Soedarmono","doi":"10.2139/ssrn.3096393","DOIUrl":null,"url":null,"abstract":"This paper investigates the progress of financial integration in the Asia-Pacific region. Using a stock market liquidity measure and cointegration technique, we show that Asia-Pacific stock markets are not fully segmented in terms of liquidity risk and hence, stock market integration is feasible. Moreover, we find that the number of cointegrating vectors for different types of samples declines during the global financial crisis. This may indicate that the global financial crisis tempers the extent to which Asia-Pacific stock markets are integrated. Hence, the influence of financial crises should be considered by policy makers in designing stock market integration, while global investors can still benefit from diversifying portfolio investments in the Asia-Pacific region.","PeriodicalId":47355,"journal":{"name":"Economics Bulletin","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2018-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics Bulletin","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3096393","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 2
Abstract
This paper investigates the progress of financial integration in the Asia-Pacific region. Using a stock market liquidity measure and cointegration technique, we show that Asia-Pacific stock markets are not fully segmented in terms of liquidity risk and hence, stock market integration is feasible. Moreover, we find that the number of cointegrating vectors for different types of samples declines during the global financial crisis. This may indicate that the global financial crisis tempers the extent to which Asia-Pacific stock markets are integrated. Hence, the influence of financial crises should be considered by policy makers in designing stock market integration, while global investors can still benefit from diversifying portfolio investments in the Asia-Pacific region.
期刊介绍：
The Economic Bulletin is an open-access letters journal founded in 2001 with the mission of providing free and extremely rapid scientific communication across the entire community of research economists. EB publishes original notes, comments, and preliminary results. We are especially interested in publishingmanuscripts that keep the profession informed about on-going research programs. Our publication standard is that a manuscript be original, correct and of interest to a specialist. Submissions in these categories are refereed and our objective is to make a decision within two months. Accepted papers are published immediately. It is expected that in many cases, manuscripts published in these categories will form the foundation for more complete works to besubsequently submitted to other journals. In all cases, submissions are restricted to seven printed pages exclusive of references, tables, figures, and appendices, and must be in PDF format. EB also publishes non-refereed letters to the editor, conference announcements and research announcements.
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