Stock market integration of emerging Asian economies: Patterns and causes

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

“…In this paper we show that financial integration did attenuate during the S.A.R.S. epidemic in contrast to the possible influence of economic crises on stock market integration (Hemche et al, 2016;Narayan et al, 2014). In addition, Lence and Falk (2005, p. 889) mention that the issue of whether asset prices are cointegrated or not rests on the characteristics of preferences and endowment processes, not on market integration and /or market efficiency.…”

“…Hemche, Jawadi, Maliki, and Cheffou (2016) find a substantial increase in dynamic correlations following the recent subprime crisis for most markets under consideration with regard to the U.S. market. Narayan, Sriananthakumar, and Islam (2014) also present that relations between Asian and U.S. markets were strongest during the global financial crisis, while Frijns et al (2012) show that political crises generally reduced the level of stock market integration in 19 emerging countries from the South and East Asia, Latin American, and Central and Eastern Europe regions. Rughoo and You (2015) note evidence of both global and regional integrations in the money market pre-2008, but once the crisis hit, the process of global integration came to an abrupt halt.…”

Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region

“…Liu et al (2006) show that the positive effects of trade relations on stock market comovements are significant in Europe only, and not in Asia. Narayan et al (2014) find positive effects of bilateral trade relations on stock market comovements only for some country pairs, along with negative effects for other country pairs in their sample. 4 Although such previous studies thus inform us that trade has either positive or negative effects on stock markets, the present study focuses more on the effects of the growth in their bilateral trade on the stock returns of trading partners, using a methodology that takes into account the Asia-Pacific stock markets' distinctive characteristics in terms of regime shifting.…”

“…(), Johnson and Soenen () and Narayan et al . () show that the effect of trade on stock markets is not always positive but depends on the country group and the trade structure.…”

“…The STAR-VECM methodology allows us to identify the boom and 1 Empirical evidence that trade linkages between countries is a significant determinant of their stock market comovements has been shown in the following studies: Chen and Zhang (1997), Bracker et al (1999), Soydemir (2000), Pretorius (2002), Chinn and Forbes (2004), Chambet and Gibson (2008), Tavares (2009), Beine et al (2010), Walti (2011) and Paramati et al (2016). Other studies such as Liu et al (2006), Bracker et al (1999), Johnson and Soenen (2002) and Narayan et al (2014) show that the effect of trade on stock markets is not always positive but depends on the country group and the trade structure. bust cycles of individual stock markets based on their endogenous characteristics, unlike previous studies that determine stock market cycles through ad hoc defined characteristics of stock markets (Edwards et al, 2003;Candelon et al, 2008;Yu et al, 2010).…”