Stock market linkages in Asia. Revisiting Granger causality evidences
In this research, using the most recent daily stock index data of Japan, Singapore, South Korea, India and China, we revisit the financial integration in Asia. The study applies Granger causality and Impulse Response Function to analyse the pattern of equity market integration in the region. The fin...
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2022-09-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/1614.pdf
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| Summary: | In this research, using the most recent daily stock index data of Japan, Singapore, South
Korea, India and China, we revisit the financial integration in Asia. The study applies Granger
causality and Impulse Response Function to analyse the pattern of equity market integration in the
region. The findings of the study reveal that price convergence among Asian stock markets is still
relatively weak. In general, causality is unidirectional and existing among most markets with shortlived
impacts. The asymmetrical price behaviour of Asian markets has implications for the pricing
efficiency of national markets and suggests many opportunities for global investors to optimize
returns through market diversifications on a long-term perspective. |
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| ISSN: | 1841-8678 1844-0029 |