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

Sei Wan Kim; Young Min Kim; Moon Jung Choi

doi:10.1080/1540496X.2015.1026726

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

Sei Wan Kim, Young Min Kim, Moon Jung Choi

Department of Economics

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

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
Pages (from-to)	S68-S88
Journal	Emerging Markets Finance and Trade
Volume	51
DOIs	https://doi.org/10.1080/1540496X.2015.1026726
State	Published - 3 Jul 2015

Keywords

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

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10.1080/1540496X.2015.1026726

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title = "Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes",

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.",

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AU - Choi, Moon Jung

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AB - 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.

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

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Keywords

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