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...
| Main Author: | |
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2022-09-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1614.pdf
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| _version_ | 1828414684420636672 |
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| author | T.G. SAJI |
| author_facet | T.G. SAJI |
| author_sort | T.G. SAJI |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-10T13:30:56Z |
| format | Article |
| id | doaj.art-ff798297f55a43e3a4b1a4828c8d2b55 |
| institution | Directory Open Access Journal |
| issn | 1841-8678 1844-0029 |
| language | English |
| last_indexed | 2024-12-10T13:30:56Z |
| publishDate | 2022-09-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-ff798297f55a43e3a4b1a4828c8d2b552022-12-22T01:46:58ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292022-09-01XXIX315116818418678Stock market linkages in Asia. Revisiting Granger causality evidencesT.G. SAJI0 Cochin University of Science and Technology, India 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. http://store.ectap.ro/articole/1614.pdf stock market integration; granger causalityvariance decompositionsimpulse responsesportfolio diversifications |
| spellingShingle | T.G. SAJI Stock market linkages in Asia. Revisiting Granger causality evidences Theoretical and Applied Economics stock market integration; granger causality variance decompositions impulse responses portfolio diversifications |
| title | Stock market linkages in Asia. Revisiting Granger causality evidences |
| title_full | Stock market linkages in Asia. Revisiting Granger causality evidences |
| title_fullStr | Stock market linkages in Asia. Revisiting Granger causality evidences |
| title_full_unstemmed | Stock market linkages in Asia. Revisiting Granger causality evidences |
| title_short | Stock market linkages in Asia. Revisiting Granger causality evidences |
| title_sort | stock market linkages in asia revisiting granger causality evidences |
| topic | stock market integration; granger causality variance decompositions impulse responses portfolio diversifications |
| url |
http://store.ectap.ro/articole/1614.pdf
|
| work_keys_str_mv | AT tgsaji stockmarketlinkagesinasiarevisitinggrangercausalityevidences |