Is there heterogeneity in financial integration dynamics? Evidence from country and industry emerging market equity indexes

Donadelli, Michael; Paradiso, Antonio

doi:10.1016/j.intfin.2014.06.003

Cited by 54 publications

(45 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…On the other hand, financial segmentation implies some heterogeneity in investment opportunity sets across countries -a feature that makes the pricing of assets more complicated, because asset prices and the endogenous cross-sectional wealth distribution must be jointly determined (Bhamra, Coeurdacier & Guibaud, 2014). A low level of financial integration tends to produce an inefficient international risk-sharing environment (Donadelli & Paradiso, 2014). In this paper we show that financial integration did attenuate during the S.A.R.S.…”

Section: Discussionmentioning

confidence: 66%

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Chen

Lee

Lin

et al. 2018

Economic Research-Ekonomska Istraživanja

120

View full text Add to dashboard Cite

The purpose of this study is to examine the effect of the Severe Acute Respiratory Syndrome (S.A.R.S.) epidemic on the long-run relationship between China and four Asian stock markets. To this end, we first employ the advanced smooth time-varying cointegration model to investigate the existence of a time-varying cointegration relation among these markets and then employ the difference-indifferences approach to analyse whether or not the S.A.R.S. epidemic impacted the long-run relation between China and these four markets during the period 1998-2008, covering 5 years before and after the S.A.R.S. outbreak. Our results support the existence of a time-varying cointegration relation in the aggregate stock price indices, and that the S.A.R.S. epidemic did weaken the long-run relationship between China and the four markets. Therefore, stockholders and policy makers should be concerned about the influence of catastrophic epidemic diseases on the financial integration of stock market in Asia.

show abstract

Section: Discussionmentioning

confidence: 66%

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Chen

Lee

Lin

et al. 2018

Economic Research-Ekonomska Istraživanja

120

View full text Add to dashboard Cite

show abstract

“…For instance, Volosovych (2011Volosovych ( , 2013 have introduced an integration index in the context of capital market integration using a dynamic principal component analysis. This approach has also been applied by Donadelli and Paradiso (2014).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Some recent studies, employing other methods, are also capable of capturing the dynamics of the integration process among countries. For instance, following Volosovych (2011Volosovych ( , 2013, but looking at both country and industry level, Donadelli and Paradiso (2014) employ a principal component analysis (PCA) to examine the dynamics of the financial integration process across equity markets in one global emerging region referred to as 'Emerging' and three emerging sub-regions (Asia, Eastern Europe, and Latin America) during the period 1980-2012. Compared with the PCA, the P&S method enables us to capture the dynamics of the integration process in South East Asia in a unique manner.…”

Section: Literature Reviewmentioning

confidence: 99%

Asian financial integration: Global or regional? Evidence from money and bond markets

Rughoo

You

2016

International Review of Financial Analysis

View full text Add to dashboard Cite

This paper investigates the degree of global versus regional financial integration in Southeast Asia during the period 2004-2012. We examine integration in the money and bond markets in Asia by employing a covered-interest-parity-based measure of financial integration. The impact of the 2008 financial crisis as well as the recent regional bond initiatives on the integration process of Asian money and bond markets are specifically investigated. Empirically, we adopt the Phillips and Sul (2007) convergence methodology that has not been previously employed to examine the integration process in Asian money and bond markets. We find evidence of both global and regional integration in the money market pre 2008 but once the crisis hit, the process of global integration comes to an abrupt halt. However, regional integration, albeit at a slower pace, is still clearly evident in the post-crisis period. As for the Asian bond market, evidence of both global and regional integration is found but, in comparison, the latter is more convergent post 2008. Regional integration is stronger when interest rates with longer maturity are considered. In addition, we identify some convergent sub-groups of countries and this suggests that a multi-tiered style of convergence is present.

show abstract

“…As a result, the benefits from international portfolio diversification decrease (Goetzmann et al, 2005;Christoffersen et al, 2012;Donadelli and Paradiso, 2014). Moreover, increasing financial integration and frictionless international capital markets tend to affect countries' specific policy targets.…”

Section: Introductionmentioning

confidence: 99%

Which market integration measure?

Billio

Donadelli

Paradiso

et al. 2017

Journal of Banking & Finance

View full text Add to dashboard Cite

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.

show abstract

Is there heterogeneity in financial integration dynamics? Evidence from country and industry emerging market equity indexes

Cited by 54 publications

References 27 publications

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Asian financial integration: Global or regional? Evidence from money and bond markets

Which market integration measure?

Contact Info

Product

Resources

About