FINANCIAL MARKET INTEGRATION IN ASIA: EVIDENCE FROM STOCK AND BOND MARKET

Fauziah Fauziah

Abstract


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.

Keywords


Financial Market Integration, Stock Market, Bond Market

Full Text:

PDF

References


Balcilar, Mehmet, Ali M. Kutanc, & Mehmet E. Yay. (2016). Financial Integration in Small Islands: The Case of Cyprus. International Review of Economics and Finance, 47: 201–219.

Belke, Ansgar & Keil, Jonas. (2016). Financial Integration, Global Liquidity and Global Macroeconomic Linkages. Journal of Economic Studies, 43(1): 16 – 26.

Berben, R. & Jansen, W.J. (2005). Bond Market and Stock Market Integration in Europe (No. 06).

Buzelay, Alain. (2008). European Financial Integration and Global Financial Liberalization. Journal of Advances in Management Research, 5(1) : 89-91.

Chai, H.-Y. & Rhee, Y. (2005). Financial Integration and Financial Efficiency in East Asia. Paper presented at the Claremont-KIEP International Conference, 20 June (2005).

Deltuvaitė, Vilma. (2015). CEECs’ Financial Integration: Global or Regional? Evidence from Sovereign Bond Market. Procedia Economics and Finance, 24 : 192–197.

Didier, Tatiana, Ruth Llovet Montanes & Sergio L. Schmukler. (2017). International Financial Integration of East Asia and Pacific. Journal of The Japanese and International Economies.

Flood, R.P. & Rose, A.K. (2004). “Equity Integration in Times of Crisis”, in Claudio, B., Hunter, W.C., Kaufman, G. and Tsatsaronis, K. (Eds), Market Discipline: The Evidence Across Countries and Industries, MIT Press, Cambridge, MA.

International Monetary Fund. World Economic Outlook, October (2016). Washington, D.C.

Kim, S.-J., Moshirian, F. & Wu, E. (2006). Evolution of International Stock and Bond Market Integration: Influence of The European Monetary Union. Journal of Banking & Finance, 30(5): 1507-1534.

Kleimeier, S. & Sander, H. (2000), Regionalisation versus Globalisation in European Financial Market Integration: Evidence from Cointegration Analysis. Journal of Banking & Finance, 24(6).

Nguyen, Tung Dao and Elisabeta, Pana. (2016). Financial Integration and Diversification Benefits: China and ASEAN4 Countries. Managerial Finance, 42(5).

Oanea, Dumitru-Cristian. (2015). Financial Market Integration: A Vector Error-Correction Approach. The Journal of Economic Asymmetries, 12 : 153-161.

Perera, anil and Wickramanayake, J. (2012). Financial Integration in Selected South Asian Countries. South Asian Journal of Global Business Research, 1(2) : 210-237.

Pyun, Ju Hyun, Jiyoun An. (2016). Capital and Credit Market Integration and Real Economic Contagion During the Global Financial Crisis, Journal of International Money and Finance.

Rughoo, A. & You, K. (2015). Asian Financial Integration-global or Regional-Evidence from Money and Bond Market. International Review of Financial Analysis.

Volosovych, V. (2011). Measuring Financial Maket Integratoin Over The Long Run-Is There a U-Shape. Journal of International Money and Finance, 30: 1535–1561.

Yu, Changhua. (2014). Evaluating International Financial Integration in a Center-Periphery Economy. Journal of International Economics: 1-16.




DOI: http://dx.doi.org/10.31106/jema.v15i01.777

Article Metrics

Metrics Loading ...

Metrics powered by PLOS ALM

Refbacks

  • There are currently no refbacks.


Copyright (c) 2018 JEMA: Jurnal Ilmiah Bidang Akuntansi dan Manajemen



JEMA: Jurnal Ilmiah Bidang Akuntansi dan Manajemen is indexed by:

 

Creative Commons License
JEMA: Jurnal Ilmiah Bidang Akuntansi dan Manajemen is licensed under a Creative Commons Attribution 4.0 International License