Does economic integration lead to financial market integration in the Asian region?

نویسندگان

چکیده

This study empirically examines the impact of economic integration on stock market co-movements India with major Asian markets such as China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, and Thailand. We collect daily data indices from September 1999 to December 2017. The asymmetric generalised dynamic conditional correlation GARCH model is applied estimate time-varying correlations among various markets. Next, panel autoregressive distributed lag method investigate co-movements. Our results show that has a significant positive in region. also provide supporting evidence global financial crisis positively contributed interdependence

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ژورنال

عنوان ژورنال: Economic Analysis and Policy

سال: 2021

ISSN: ['0313-5926', '2204-2296']

DOI: https://doi.org/10.1016/j.eap.2020.12.003