Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/161916
Authors: 
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
You, Kefei
Year of Publication: 
2017
Series/Report no.: 
CESifo Working Paper 6477
Abstract: 
This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean reversion and draw inference on financial integration. It makes a three-fold contribution: it uses not only aggregate but also industry level data on stock returns; it examines the impact of the 2008 crisis; it employs a fractional integration approach to investigate the issues of interest. The evidence suggests that in emerging Asia there is more regional than global integration, and that the former has become even stronger in the post-2008 crisis period.
Subjects: 
global and regional integration
Asian stock markets
fractional integration
global financial crisis
JEL: 
F31
C22
C32
Document Type: 
Working Paper

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