Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes

Sei Wan Kim, Young Min Kim, Moon Jung Choi

Research output: Contribution to journalArticlepeer-review

13 Scopus citations


This work provides new evidence of Asia-Pacific stock market integration by incorporating the regime changes of each stock market through the smooth transition autoregressive (STAR) model. According to empirical results, most Asia-Pacific stock market returns follow STAR dynamics to a significant degree with more rapid and frequent regime changes of a shorter nature compared with G7 markets. A series of STAR-based Granger causality tests reveal evidence of stronger equity market integration compared with linear Granger causality tests. We also find that Asia-Pacific stock markets are integrated in different levels. Finally, we provide evidence that in the early twenty-first century the influence of China and the United States on Asia-Pacific stock markets has been maintained while that of Japan has been weakened.

Original languageEnglish
Pages (from-to)S68-S88
JournalEmerging Markets Finance and Trade
StatePublished - 3 Jul 2015

Bibliographical note

Publisher Copyright:
Copyright © 2015 Taylor & Francis Group, LLC.


  • Asian-Pacific stock market
  • integration
  • regime change
  • smooth transition autoregressive model


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