Asian financial market integration and the role of Chinese financial market
Asian financial market integration and the role of Chinese financial market
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DOI：
10.1016/j.iref.2018.10.012
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发表时间：
2019-01-01
影响因子：
4.5
通讯作者：
Lee, Byung-Joo
中科院分区：
文献类型：
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作者：
Lee, Byung-Joo
本文采用面板单位根检验和面板协整检验来检验亚洲金融市场之间是否存在共同趋势，如果存在共同趋势，它们是否平稳。在商品和服务贸易日益增长的背景下，亚洲股票市场一体化是一个重要的问题。尽管最近取得了进展，但区域内金融一体化的程度似乎落后于该区域贸易的增长。经验证据表明，亚洲各国金融市场收益率本身都是平稳的，面板单位根检验也证实了这一结论。亚洲金融市场总体上是联动的，从统计角度来看，它们可以被整合起来。在这一分析中，中国似乎是一个异常值，她的金融市场与样本中的任何其他亚洲金融市场都不同步。
This paper uses panel unit root test and panel cointegration test to examine whether there are common trends among Asian financial markets, and if there are common trends, are they stationary or not. Asian stock market integration is an important issue in the midst of ever increasing goods and service trades. Despite the recent progress, the degree of intra-regional financial integration appears to lag behind the increase in trades in the region. Empirical evidence shows that financial market returns among Asian countries are all stationary in itself and panel unit root tests reinforces this conclusion. Asian financial markets generally move together, and they could be integrated in a statistical point of view. China appears to be an outlier in this analysis, and her financial market is not in sync with any other Asian financial markets in the sample.