Dynamics of integration in East Asian equity markets

Tadaaki Komatsubara; Tatsuyoshi Okimoto; Ken-ichi Tatsumi

doi:10.1016/j.jjie.2017.07.002

Dynamics of integration in East Asian equity markets

Tadaaki Komatsubara, Tatsuyoshi Okimoto, Ken-ichi Tatsumi

Research output: Contribution to journal › Article

Abstract

This paper investigates the dynamics of integration in East Asian equity markets between 1995 and 2013 using a smooth-transition correlation GARCH model. Our results show that East Asian equity market integration among China and other countries has increased significantly since 2007, whereas among other East Asian equity markets excluding China increased significantly in an earlier period from 1999 to 2001. Additionally, we find that increasing integration has been mostly caused by correlation increases in aftertrading hours. These results suggest that stock prices in East Asia are sensitive to Europe and US stocks because Europe and US investors are actively investing in East Asian stocks. Indeed, the periods reflect striking increases in integration that correspond approximately to the start of intensive Europe and US investment activity in East Asian stock markets.

Original language	English
Pages (from-to)	37-50pp.
Journal	Journal of the Japanese and International Economies
Volume	45
DOIs	https://doi.org/10.1016/j.jjie.2017.07.002
Publication status	Published - 2017

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title = "Dynamics of integration in East Asian equity markets",

abstract = "This paper investigates the dynamics of integration in East Asian equity markets between 1995 and 2013 using a smooth-transition correlation GARCH model. Our results show that East Asian equity market integration among China and other countries has increased significantly since 2007, whereas among other East Asian equity markets excluding China increased significantly in an earlier period from 1999 to 2001. Additionally, we find that increasing integration has been mostly caused by correlation increases in aftertrading hours. These results suggest that stock prices in East Asia are sensitive to Europe and US stocks because Europe and US investors are actively investing in East Asian stocks. Indeed, the periods reflect striking increases in integration that correspond approximately to the start of intensive Europe and US investment activity in East Asian stock markets.",

author = "Tadaaki Komatsubara and Tatsuyoshi Okimoto and Ken-ichi Tatsumi",

year = "2017",

doi = "10.1016/j.jjie.2017.07.002",

language = "English",

volume = "45",

pages = "37--50pp.",

journal = "Journal of the Japanese and International Economies",

issn = "0889-1583",

publisher = "Academic Press Inc.",

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T1 - Dynamics of integration in East Asian equity markets

AU - Komatsubara, Tadaaki

AU - Okimoto, Tatsuyoshi

AU - Tatsumi, Ken-ichi

PY - 2017

Y1 - 2017

N2 - This paper investigates the dynamics of integration in East Asian equity markets between 1995 and 2013 using a smooth-transition correlation GARCH model. Our results show that East Asian equity market integration among China and other countries has increased significantly since 2007, whereas among other East Asian equity markets excluding China increased significantly in an earlier period from 1999 to 2001. Additionally, we find that increasing integration has been mostly caused by correlation increases in aftertrading hours. These results suggest that stock prices in East Asia are sensitive to Europe and US stocks because Europe and US investors are actively investing in East Asian stocks. Indeed, the periods reflect striking increases in integration that correspond approximately to the start of intensive Europe and US investment activity in East Asian stock markets.

AB - This paper investigates the dynamics of integration in East Asian equity markets between 1995 and 2013 using a smooth-transition correlation GARCH model. Our results show that East Asian equity market integration among China and other countries has increased significantly since 2007, whereas among other East Asian equity markets excluding China increased significantly in an earlier period from 1999 to 2001. Additionally, we find that increasing integration has been mostly caused by correlation increases in aftertrading hours. These results suggest that stock prices in East Asia are sensitive to Europe and US stocks because Europe and US investors are actively investing in East Asian stocks. Indeed, the periods reflect striking increases in integration that correspond approximately to the start of intensive Europe and US investment activity in East Asian stock markets.

U2 - 10.1016/j.jjie.2017.07.002

DO - 10.1016/j.jjie.2017.07.002

M3 - Article

VL - 45

SP - 37

EP - 50

JO - Journal of the Japanese and International Economies

JF - Journal of the Japanese and International Economies

SN - 0889-1583

ER -

Dynamics of integration in East Asian equity markets

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