Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5053708 | Economic Modelling | 2015 | 15 Pages |
Abstract
This paper examines the dynamic process of convergence among cross-border stock markets in China and ASEAN-5 countries using recursive cointegration analysis. The results show that these six stock markets had at most one cointegrating vector from 1994 to 2002. Overall, the regional financial integration between China and ASEAN-5 has gradually increased. Additionally, the estimated coefficients of error correction terms are statistically significant and negative in China and Indonesia, but the coefficients of other countries are insignificant, meaning that all of the adjustment of this cointegration fell on these two countries' stock markets.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mei-Se Chien, Chien-Chiang Lee, Te-Chung Hu, Hui-Ting Hu,