Abstract
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 language | English |
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Pages (from-to) | S68-S88 |
Journal | Emerging Markets Finance and Trade |
Volume | 51 |
DOIs | |
State | Published - 3 Jul 2015 |
Bibliographical note
Publisher Copyright:Copyright © 2015 Taylor & Francis Group, LLC.
Keywords
- Asian-Pacific stock market
- integration
- regime change
- smooth transition autoregressive model