An Investigation of Global and Regional Integration of ASEAN Economic Community Stock Market: Dynamic Risk Decomposition Approach
An Investigation of Global and Regional Integration of ASEAN Economic Community Stock Market: Dynamic Risk Decomposition Approach
复制标题
东盟经济共同体股票市场全球和区域一体化研究：动态风险分解法
DOI：
10.1080/1540496x.2016.1156528
复制
发表时间：
2016
影响因子：
4
通讯作者：
Jinho Jeong
中科院分区：
文献类型：
--
作者：
Geesun Lee;Jinho Jeong
摘要 本文研究了东盟经济共同体（AEC）与中国和美国这两个主要股票市场之间股票市场关系的动态模式。开发了 GARCH 风险分解模型来反映随时间变化的市场整合。本研究的主要结果如下。首先，东盟经济共同体与区域股票市场的融合程度高于与全球股票市场的融合程度。其次，AEC股市的走势主要受国内经济形势的推动。第三，外部冲击只是暂时影响东盟经济共同体的一体化程度。最后，国际投资者能够通过将 AEC 市场投资组合添加到现有投资组合中来显着降低非系统性风险。
ABSTRACT This article investigates the dynamic pattern of stock market relations between the ASEAN Economic Community (AEC) and two major stock markets: China and the United States. A GARCH risk decomposition model is developed to reflect the time-varying market integration. The primary findings of this study are as follows. First, the AEC is more integrated with the regional stock market than with the global stock market. Second, the movement in the AEC stock market is mainly driven by domestic economic situations. Third, external shocks only affect the level of integration of the AEC temporarily. Finally, international investors are able to significantly reduce unsystematic risk by adding an AEC market portfolio into their existing portfolios.
DOI：
10.1163/1570-6664_iyb_sim_org_2241
发表时间：
2024-01
期刊：
International Journal of Social Science, Innovation and Educational Technologies
影响因子：
--
作者：
Canan Gürbüz
通讯作者：
Canan Gürbüz
日本宏观经济公告对美元/日元汇率的影响
DOI：
--
发表时间：
2009
期刊：
影响因子：
--
作者：
Hara;H.;Aoki;S. and Takemura;A.;丸山敦裕;柄谷利恵子;中田邦博;百原 新;伊藤隆敏;H.Tanizaki;本久洋一;吉澤誠一郎;松田素二;亀田修一;YAMAKAGE Susumu;本久洋一;高橋美由紀;橋本優子
通讯作者：
橋本優子