Evaluating international financial integration in a center-periphery economy

Yu, Changhua

doi:10.1016/j.jinteco.2014.10.008

Cited by 16 publications

(8 citation statements)

References 61 publications

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“…On the one side, a relatively high level of integration (i.e., complete international financial markets) increases risk-sharing opportunities by allowing for larger insurance benefits and more efficient consumption smoothing (see, among others, Jappelli and Pistaferri, 2011;Suzuki, 2014). In this respect, financial integration may generate both short-and long-run welfare benefits (Colacito and Croce, 2010;Yu, 2015). On the other side, the increasing level of global financial integration induces strong positive cross-country equity return correlations.…”

Section: Introductionmentioning

confidence: 99%

Which market integration measure?

Billio

Donadelli

Paradiso

et al. 2017

Journal of Banking & Finance

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This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an established international finance result, i.e., increasing financial integration leads to declining international portfolio diversification benefits. Using monthly equity market data for three different country groups (i.e., developed markets, emerging markets, developed plus emerging markets) and a dynamic indicator of international portfolio diversification benefits, we find that (i) all measures give rise to a very similar long-run integration pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more sophisticated measures. These findings are robust to a battery of robustness checks.

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Section: Introductionmentioning

confidence: 99%

Which market integration measure?

Billio

Donadelli

Paradiso

et al. 2017

Journal of Banking & Finance

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“…[27,40] 1st Principal component • Expressed as the proportion of total variation of returns the cross-country market indices Ref. [28,41] ASI-adjusted Simple correlations…”

Section: Cross-market Integration Measure(s) Methods Of Computation Stmentioning

confidence: 99%

Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration

Bhattacharjee

Shafi

Acharjee

2017

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Abstract:The state of cross-market linkage structures and its stability over varying time-periods play a key role in the performance of international diversified portfolios. There has been an increasing interest of global investors in emerging capital markets in the Asian region. In this setting, an investigation into the temporal dynamics of cross-market linkage structures becomes significant for the selection and optimal allocation of securities in an internationally-diversified portfolio. In the quest for this, in the current study, weighted network models along with network metrics are employed to decipher the underlying cross-market linkage structures among Asian markets. The study analyses the daily return data of fourteen major Asian indices for a period of 14 years (2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011)(2012)(2013)(2014)(2015)(2016). The topological properties of the network are computed using centrality measures and measures of influence strength and are investigated over temporal scales. In particular, the overall influence strengths and India-specific influence strengths are computed and examined over a temporal scale. Threshold filtering is also performed to characterize the dynamics related to the linkage structure of these networks. The impacts of the 2008 financial crisis on the linkage structural patterns of these equity networks are also investigated. The key findings of this study include: a set of central and peripheral indices, the evolution of the linkage structures over the 2002-2016 period and the linkage dynamics during times of market stress. Mainly, the set of indices possessing influence over the Asian region in general and the Indian market in particular is also identified. The findings of this study can be utilized in effective systemic risk management and for the selection of an optimally-diversified portfolio, resilient to system-level shocks.

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“…The financial market in the world increasingly integrated into line with the rapid development of information and communication technology, liberalization of cross-border capital flows, financial innovation and economic integration through international trade relations and the internationalization of production through Foreign Direct Investment (FDI) (Berben & Jansen, 2005). Financial integration helps countries allocate resources efficiently and diversify their income risks across border (Yu, 2014).…”

Section: Introduction 11 Research Backgroundmentioning

confidence: 99%

Financial Market Integration in Asia: Evidence From Stock and Bond Market

Fauziah

2018

JEMA

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Financial integration especially in Asian financial market has been a defining feature of the world economy and has become a central issue in international finance for the past decades. However, there is limited empirical studies on the integration of Asian bond market. Therefore, this study aims to examine the financial market integration in Asia (Stock and Bond Market). The sample of this study is the major of Asian financial markets including Japan, China, Hong Kong, Singapore and South Korea during January 2009 -December 2016. Correlation, co-integration and causality tests used in this study to investigate the financial markets integrations. This study shows that both stock and bond returns are co-integrated and indicate as a common stochastic trends. Stock market integration appears to be much stronger compared to the less developed. This result is very important for investors to assess potential gains from portfolio diversification, and for a financial policymaker to manage market policies effectively and handle contagion risks that might be caused by international shock transmissions.

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Evaluating international financial integration in a center-periphery economy

Cited by 16 publications

References 61 publications

Which market integration measure?

Which market integration measure?

Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration

Financial Market Integration in Asia: Evidence From Stock and Bond Market

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