Regional integration of the East Asian stock markets: An empirical assessmentSalem Boubakri and Cyriac Guillaumin Journal of International Money and Finance, 2015, vol. 57, issue C, 136-160 Abstract: The aim of this paper is to study the dynamics of regional financial integration in East Asia over the 1990:01–2012:08 period. To this end, we use the international capital asset pricing model (ICAPM) to assess the evolution of financial market integration through time and evaluate their risk premia. We also construct an Asian currency basket in order to obtain a reference currency in this area. Our empirical analysis is based on the multivariate GARCH-DCC approach with time-varying correlations. Our results show that the East Asian stock markets were partially segmented (except for Japan) within their region until approximately 2008. However, the last years are characterized by an upward trend in the regional integration of stock markets. Our findings also show that the risk premium related to regional stock markets is significant for all countries. Keywords: Regional financial integration; East Asia; International capital asset pricing model (ICAPM) (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:57:y:2015:i:c:p:136-160 DOI: 10.1016/j.jimonfin.2015.07.011 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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