Stock market linkages in emerging Asia-Pacific markets
- Title
- Stock market linkages in emerging Asia-Pacific markets
- Creator
- Palamalai S.; Kalaivani M.; Devakumar C.
- Description
- This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China, and Indonesia. The Johansen and Juselius multivariate cointegration test, Granger causality/Block exogeneity Wald test based on the vector error correction model (VECM) approach, and variance decomposition analysis were used to investigate the dynamic linkages between markets. Cointegration test confirmed a well-defined long-run equilibrium relationship among the major stock markets, implying that there exists a common force, such as arbitrage activity, which brings these stock markets together in the long run. The results of Granger causality/Block exogeneity Wald test based on VECM and variance decomposition analysis revealed the stock market interdependencies and dynamic interactions among the selected emerging Asia-Pacific economies. This result implies that investors can gain feasible benefits from international portfolio diversification in the short run. On the whole, the study results suggest that although long-term diversification benefits from exposure to these markets might be limited, short-run benefits might exist due to substantial transitory fluctuations. The Author(s) 2013.
- Source
- SAGE Open, Vol-3, No. 4
- Date
- 2013-01-01
- Publisher
- SAGE Publications Inc.
- Subject
- Cointegration; Stock market integration; Variance decomposition analysis; Vector error correction model
- Coverage
- Palamalai S., Christ University, Bangalore, Karnataka, India; Kalaivani M., MGR College of Arts and Sciences, Hosur, Krishnagiri, Tamil Nadu, India; Devakumar C., Christ University, Bangalore, Karnataka, India
- Rights
- All Open Access; Gold Open Access
- Relation
- ISSN: 21582440
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Palamalai S.; Kalaivani M.; Devakumar C., “Stock market linkages in emerging Asia-Pacific markets,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/17276.