Regional integration of the East Asian stock markets: An empirical assessment
The aim of this paper is to study the dynamics of regional financial integration in East Asia over the 1990:01-2012:08 period. To this end, we use the international capital asset pricing model (ICAPM) to assess the evolution of financial market integration through time and evaluate their risk premia...
محفوظ في:
| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | |
| منشور في: |
2015
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| الوصول للمادة أونلاين: | http://hdl.handle.net/20.500.12458/39 https://www.scopus.com/inward/record.uri?eid=2-s2.0-84939538818&doi=10.1016%2fj.jimonfin.2015.07.011&partnerID=40&md5=eefc58ffc51346d201a480dee74a7bef |
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| _version_ | 1857415064801247232 |
|---|---|
| author | Boubakri, Salem |
| author2 | Guillaumin, Cyriac |
| author2_role | author |
| author_facet | Boubakri, Salem Guillaumin, Cyriac |
| author_role | author |
| dc.creator.none.fl_str_mv | Boubakri, Salem Guillaumin, Cyriac |
| dc.date.none.fl_str_mv | 2015 2018-10-21T12:23:30Z 2018-10-21T12:23:30Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | 0261-5606 http://hdl.handle.net/20.500.12458/39 10.1016/j.jimonfin.2015.07.011 2-s2.0-84939538818 https://www.scopus.com/inward/record.uri?eid=2-s2.0-84939538818&doi=10.1016%2fj.jimonfin.2015.07.011&partnerID=40&md5=eefc58ffc51346d201a480dee74a7bef |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | Elsevier Ltd |
| dc.relation.none.fl_str_mv | Journal of International Money and Finance 57 136 160 |
| dc.title.none.fl_str_mv | Regional integration of the East Asian stock markets: An empirical assessment |
| dc.type.none.fl_str_mv | Controlled Vocabulary for Resource Type Genres::text::periodical::journal::contribution to journal::journal article |
| description | The aim of this paper is to study the dynamics of regional financial integration in East Asia over the 1990:01-2012:08 period. To this end, we use the international capital asset pricing model (ICAPM) to assess the evolution of financial market integration through time and evaluate their risk premia. We also construct an Asian currency basket in order to obtain a reference currency in this area. Our empirical analysis is based on the multivariate GARCH-DCC approach with time-varying correlations. Our results show that the East Asian stock markets were partially segmented (except for Japan) within their region until approximately 2008. However, the last years are characterized by an upward trend in the regional integration of stock markets. Our findings also show that the risk premium related to regional stock markets is significant for all countries. © 2015 Elsevier Ltd. |
| id | sorbonner_8602856cb241bf4304ad5ec2f7d2d259 |
| identifier_str_mv | 0261-5606 10.1016/j.jimonfin.2015.07.011 2-s2.0-84939538818 |
| language_invalid_str_mv | en |
| network_acronym_str | sorbonner |
| network_name_str | Sorbonne University Abu Dhabi repository |
| oai_identifier_str | oai:depot.sorbonne.ae:20.500.12458/39 |
| publishDate | 2015 |
| publisher.none.fl_str_mv | Elsevier Ltd |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Regional integration of the East Asian stock markets: An empirical assessmentBoubakri, SalemGuillaumin, CyriacThe aim of this paper is to study the dynamics of regional financial integration in East Asia over the 1990:01-2012:08 period. To this end, we use the international capital asset pricing model (ICAPM) to assess the evolution of financial market integration through time and evaluate their risk premia. We also construct an Asian currency basket in order to obtain a reference currency in this area. Our empirical analysis is based on the multivariate GARCH-DCC approach with time-varying correlations. Our results show that the East Asian stock markets were partially segmented (except for Japan) within their region until approximately 2008. However, the last years are characterized by an upward trend in the regional integration of stock markets. Our findings also show that the risk premium related to regional stock markets is significant for all countries. © 2015 Elsevier Ltd.Elsevier Ltd2018-10-21T12:23:30Z2018-10-21T12:23:30Z2015Controlled Vocabulary for Resource Type Genres::text::periodical::journal::contribution to journal::journal articleapplication/pdf0261-5606http://hdl.handle.net/20.500.12458/3910.1016/j.jimonfin.2015.07.0112-s2.0-84939538818https://www.scopus.com/inward/record.uri?eid=2-s2.0-84939538818&doi=10.1016%2fj.jimonfin.2015.07.011&partnerID=40&md5=eefc58ffc51346d201a480dee74a7befenJournal of International Money and Finance57136160oai:depot.sorbonne.ae:20.500.12458/392024-02-05T06:41:02Z |
| spellingShingle | Regional integration of the East Asian stock markets: An empirical assessment Boubakri, Salem |
| title | Regional integration of the East Asian stock markets: An empirical assessment |
| title_full | Regional integration of the East Asian stock markets: An empirical assessment |
| title_fullStr | Regional integration of the East Asian stock markets: An empirical assessment |
| title_full_unstemmed | Regional integration of the East Asian stock markets: An empirical assessment |
| title_short | Regional integration of the East Asian stock markets: An empirical assessment |
| title_sort | Regional integration of the East Asian stock markets: An empirical assessment |
| url | http://hdl.handle.net/20.500.12458/39 https://www.scopus.com/inward/record.uri?eid=2-s2.0-84939538818&doi=10.1016%2fj.jimonfin.2015.07.011&partnerID=40&md5=eefc58ffc51346d201a480dee74a7bef |