Time Varying Asian Stock Market Integration

31 Pages Posted: 21 Sep 2013

Date Written: September 20, 2013


We employ an asset pricing framework to show that over the last twenty years there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is generally consistent with prior studies and highlights the impact of regulatory and economic reform undertaken throughout the region in recent years. Our results also show that instability in the asset variance structure underpins the observed varying degrees of financial market integration. In particular, modeling integration using shorter estimation periods helps explain the time varying nature of financial market integration and the benefits that may accrue to international and domestic investors.

Keywords: Asia-Pacific, Financial Market Integration, International Asset Pricing, Systematic Risk, Market Risk

JEL Classification: F15, F2, F36, G10, G15

Suggested Citation

Batten, Jonathan A. and Morgan, Peter J. and Szilagyi, Peter G., Time Varying Asian Stock Market Integration (September 20, 2013). Available at SSRN: https://ssrn.com/abstract=2328524 or http://dx.doi.org/10.2139/ssrn.2328524

Jonathan A. Batten (Contact Author)

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

Peter J. Morgan

ADBI ( email )

Kasumigaseki Building 8F 3-2-5
Kasumigaseki, Chiyoda-ku
Tokyo, 100-6008

Peter G. Szilagyi

Central European University ( email )

Nador utca 9.
Budapest, 1051
+36-1-887-5092 (Phone)
+36-1-887-5005 (Fax)

HOME PAGE: http://people.ceu.edu/peter_szilagyi

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