This paper is to explore the relationship and the level
of stock market integration of the Asian countries, primarily
concentrating on Malaysia, Thailand, Indonesia, and South Korea,
with the world from January 1997 to December 2009. The degree of
short-run and long-run stock market integration of those Asian
countries are analyzed in order to determine the significance of series
of regional and world financial crises, liberalization policies and
other financial reforms in influencing the level of stock market
integration. To test for cointegration, this paper applies coefficient
correlation, univariate regression analyses, cointegration tests, and
vector autoregressive models (VAR) by using the four Asian stock
markets main indices and the MSCI World index. The empirical
findings from this work reveal that there is no long-run stock market
integration for the four countries and the world market. However,
there is short run integration.
[1] C.-S. Tai, "Market integration and contagion: Evidence from Asian
emerging stock and foreign exchange markets," Emerging Markets
Review, vol. 8, pp. 264-283, 2007.
[2] A. Z. Baharumshah, T. Sarmidi and Hui T. B., "Dynamic linkages of
Asian stock markets: An analysis of pre-liberalization and postliberalization
eras," Journal of the Asia Pacific Economy, vol. 8, pp.
180-209, 2003.
[3] M.-C. Lin, "Capital market integration and market liberalization in Asian
emerging markets," International Journal of Management, vol. 22, no.
2, pp. 249-265, 2005.
[4] F. Guo, Essays on East Asian capital markets: Integration and
implications for economic activity. Unpublished Ph.D, City University
of New York, New York, U.S.A., 2005.
[5] B. Gerard, K. Thanyalakpark and J. Batten, "Are the East Asian markets
integrated? Evidence from the ICAPM," Journal of Economics and
Business, vol. 55, pp. 585-607, 2003.
[6] R. Levine and S. Zervos, "Capital control liberalization and stock market
development," World Development, vol. 26, pp. 1169-1183, 1998.
[7] H. A. A. Hoque, "Co-movement of Bangladesh stock market with other
markets: Cointegration and error correction approach," Journal of
Managerial Finance, vol. 33, no. 10, pp. 810-820, 2007.
[8] F. Taskin and G. Muradoglu, "Financial liberalization: from segmented
to integrated economies," Journal of Economics and Business, vol. 55,
pp. 529-555, 2003.
[9] V. Errunza, and E. Losq, "International asset pricing under mild
segmentation: theory and test," Journal of Finance, vol. 40, pp. 105-124,
1985.
[10] H. L. Chuah, The integration of international equity markets. Duke
University, 2005.
[11] R. Click, and M. Plummer, "Stock market integration in ASEAN after
the Asian financial crisis," Journal of Asian Economics, vol.16, pp. 5-
28, 2005.
[12] J. Yang, J. W. Kolari and I. Min, "Stock market Integration and financial
crisis: the case of Asia," Applied Financial Economics, vol. 13, pp. 477-
486, 2003.
[13] Z. A. Mahani, "ASEAN integration: at risk of going in different
directions," World Economy, vol. 25, no. 9, pp. 1263-1277, 2002.
[14] M. H. Ibrahim, "Integration or segmentation of Malaysian equity market:
An analysis of pre- and post-capital controls," Unpublished Econ WPA.
International Islamic University Malaysia, 2004.
[15] S. Ibrahim, "East Asian financial integration: A cointegration test
allowing for structural break and the role of regional institutions,"
International Journal of Economics and Management, vol. 3, no. 1, pp.
184-203, 2009.
[16] D. M. Hunter, "The evolution of stock market integration in the postliberalization
period: A look at Latin America," Journal of International
Money and Finance, vol. 25, pp. 795-826, 2006.
[17] Z. Wang, J. Yang and D. A. Bessler, "Financial crisis and African stock
market integration," Applied Economics Letters, Taylor and Francis
Journals, vol. 10, no. 9, pp. 527-533, 2003.
[18] S. H. Kassim, M. S. Abd. Majid and Z. Hamid, "The 2007 global
financial crisis and the Malaysian stock market: A sectoral analysis,"
Afro-Asian Journal of Finance and Accounting, vol. 2, no. 3, pp. 185-
209, 2011.
[19] J. Nikkinen, V. Piljak and J. ├äijö, "Baltic stock markets and the
financial crisis of 2008-2009," Research in International Business and
Finance, vol. 26, no. 3, pp. 398-409, 2012.
[20] P. Wang and T. Moore, Stock market integration for the transition
economies: time-varying conditional correlation approach. Unpublished
Manchester School, 2008.
[21] C. M. Bilson, T. J. Brailsford, and V. J. Hooper, "Selecting
macroeconomic variables as explanatory factors of emerging stock
market returns," Pacific-Basin Finance Journal, vol. 9, pp. 401-426,
2001.
[1] C.-S. Tai, "Market integration and contagion: Evidence from Asian
emerging stock and foreign exchange markets," Emerging Markets
Review, vol. 8, pp. 264-283, 2007.
[2] A. Z. Baharumshah, T. Sarmidi and Hui T. B., "Dynamic linkages of
Asian stock markets: An analysis of pre-liberalization and postliberalization
eras," Journal of the Asia Pacific Economy, vol. 8, pp.
180-209, 2003.
[3] M.-C. Lin, "Capital market integration and market liberalization in Asian
emerging markets," International Journal of Management, vol. 22, no.
2, pp. 249-265, 2005.
[4] F. Guo, Essays on East Asian capital markets: Integration and
implications for economic activity. Unpublished Ph.D, City University
of New York, New York, U.S.A., 2005.
[5] B. Gerard, K. Thanyalakpark and J. Batten, "Are the East Asian markets
integrated? Evidence from the ICAPM," Journal of Economics and
Business, vol. 55, pp. 585-607, 2003.
[6] R. Levine and S. Zervos, "Capital control liberalization and stock market
development," World Development, vol. 26, pp. 1169-1183, 1998.
[7] H. A. A. Hoque, "Co-movement of Bangladesh stock market with other
markets: Cointegration and error correction approach," Journal of
Managerial Finance, vol. 33, no. 10, pp. 810-820, 2007.
[8] F. Taskin and G. Muradoglu, "Financial liberalization: from segmented
to integrated economies," Journal of Economics and Business, vol. 55,
pp. 529-555, 2003.
[9] V. Errunza, and E. Losq, "International asset pricing under mild
segmentation: theory and test," Journal of Finance, vol. 40, pp. 105-124,
1985.
[10] H. L. Chuah, The integration of international equity markets. Duke
University, 2005.
[11] R. Click, and M. Plummer, "Stock market integration in ASEAN after
the Asian financial crisis," Journal of Asian Economics, vol.16, pp. 5-
28, 2005.
[12] J. Yang, J. W. Kolari and I. Min, "Stock market Integration and financial
crisis: the case of Asia," Applied Financial Economics, vol. 13, pp. 477-
486, 2003.
[13] Z. A. Mahani, "ASEAN integration: at risk of going in different
directions," World Economy, vol. 25, no. 9, pp. 1263-1277, 2002.
[14] M. H. Ibrahim, "Integration or segmentation of Malaysian equity market:
An analysis of pre- and post-capital controls," Unpublished Econ WPA.
International Islamic University Malaysia, 2004.
[15] S. Ibrahim, "East Asian financial integration: A cointegration test
allowing for structural break and the role of regional institutions,"
International Journal of Economics and Management, vol. 3, no. 1, pp.
184-203, 2009.
[16] D. M. Hunter, "The evolution of stock market integration in the postliberalization
period: A look at Latin America," Journal of International
Money and Finance, vol. 25, pp. 795-826, 2006.
[17] Z. Wang, J. Yang and D. A. Bessler, "Financial crisis and African stock
market integration," Applied Economics Letters, Taylor and Francis
Journals, vol. 10, no. 9, pp. 527-533, 2003.
[18] S. H. Kassim, M. S. Abd. Majid and Z. Hamid, "The 2007 global
financial crisis and the Malaysian stock market: A sectoral analysis,"
Afro-Asian Journal of Finance and Accounting, vol. 2, no. 3, pp. 185-
209, 2011.
[19] J. Nikkinen, V. Piljak and J. ├äijö, "Baltic stock markets and the
financial crisis of 2008-2009," Research in International Business and
Finance, vol. 26, no. 3, pp. 398-409, 2012.
[20] P. Wang and T. Moore, Stock market integration for the transition
economies: time-varying conditional correlation approach. Unpublished
Manchester School, 2008.
[21] C. M. Bilson, T. J. Brailsford, and V. J. Hooper, "Selecting
macroeconomic variables as explanatory factors of emerging stock
market returns," Pacific-Basin Finance Journal, vol. 9, pp. 401-426,
2001.
@article{"International Journal of Business, Human and Social Sciences:53722", author = "Noor A. Auzairy and Rubi Ahmad and Catherine S.F. Ho and Ros Z. Z. Sapian", title = "Integration of Asian Stock Markets", abstract = "This paper is to explore the relationship and the level
of stock market integration of the Asian countries, primarily
concentrating on Malaysia, Thailand, Indonesia, and South Korea,
with the world from January 1997 to December 2009. The degree of
short-run and long-run stock market integration of those Asian
countries are analyzed in order to determine the significance of series
of regional and world financial crises, liberalization policies and
other financial reforms in influencing the level of stock market
integration. To test for cointegration, this paper applies coefficient
correlation, univariate regression analyses, cointegration tests, and
vector autoregressive models (VAR) by using the four Asian stock
markets main indices and the MSCI World index. The empirical
findings from this work reveal that there is no long-run stock market
integration for the four countries and the world market. However,
there is short run integration.", keywords = "Asia, integration, relationship, stock market.", volume = "6", number = "12", pages = "3459-7", }
