Stock Market Linkages in Emerging Asia-Pacific Markets
Autor: | Srinivasan Palamalai, Kalaivani M., Christopher Devakumar |
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Jazyk: | angličtina |
Rok vydání: | 2013 |
Předmět: | |
Zdroj: | SAGE Open, Vol 3 (2013) |
Druh dokumentu: | article |
ISSN: | 2158-2440 21582440 |
DOI: | 10.1177/2158244013514060 |
Popis: | This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China, and Indonesia. The Johansen and Juselius multivariate cointegration test, Granger causality/Block exogeneity Wald test based on the vector error correction model (VECM) approach, and variance decomposition analysis were used to investigate the dynamic linkages between markets. Cointegration test confirmed a well-defined long-run equilibrium relationship among the major stock markets, implying that there exists a common force, such as arbitrage activity, which brings these stock markets together in the long run. The results of Granger causality/Block exogeneity Wald test based on VECM and variance decomposition analysis revealed the stock market interdependencies and dynamic interactions among the selected emerging Asia-Pacific economies. This result implies that investors can gain feasible benefits from international portfolio diversification in the short run. On the whole, the study results suggest that although long-term diversification benefits from exposure to these markets might be limited, short-run benefits might exist due to substantial transitory fluctuations. |
Databáze: | Directory of Open Access Journals |
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