Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/161662 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1669
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no integration/convergence of any kind is found. By contrast, in the post-crisis period, the Asian stock markets appear to be integrated both globally and regionally at the aggregate level; at the industry level, there is evidence of both global and regional integration in 6 out of 10 cases, the exceptions being Financials and Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel convergence is not found for the pre-crisis period and for the Gas & Oil and Technology sectors in the post-crisis period.
Schlagwörter: 
Asian stock markets
global and regional integration
Phillips-Sul tests
panel and club convergence
JEL: 
C32
C33
G11
G15
Dokumentart: 
Working Paper

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