Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific
Dublin Core
Title
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific
Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific
Subject
capital asset pricing model; covid-19; global financial crisis; market integration
Description
This study investigates the time-varying integration of stock markets from a global and regional perspective, the consequences of two major global financial crises, i.e., the Asian Financial Crisis and the subprime mortgage, and the Crisis triggered by COVID-19. We contribute to the growing amount of literature on market integration, especially on the role of regional to global market integration. Although regional integration encourages an acceleration of global integration, the effect of a regional factor is not uniform among regions. It is important to understand regional to global market integration and the consequences during the crises. This study employs time-series data from economic
territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification. It introduces an alternative measurement of time-varying integration by considering the correlation of regional and global markets using a simple international model, equivalent to the capital asset pricing model (CAPM). The result shows that the
market integrations are time-varying both globally and regionally. The domestic markets are affected by the global market and its regional market, as the role of a regional market emerges during the financial crisis period. We find the different responses of stock markets during the Covid-19 period as a dominant factor to exacerbate the market return globally. In the long run, the upward trend for the regional market integration in both
developed and emerging markets is inherent to the global market integration.
territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification. It introduces an alternative measurement of time-varying integration by considering the correlation of regional and global markets using a simple international model, equivalent to the capital asset pricing model (CAPM). The result shows that the
market integrations are time-varying both globally and regionally. The domestic markets are affected by the global market and its regional market, as the role of a regional market emerges during the financial crisis period. We find the different responses of stock markets during the Covid-19 period as a dominant factor to exacerbate the market return globally. In the long run, the upward trend for the regional market integration in both
developed and emerging markets is inherent to the global market integration.
Creator
Hayun Kusumah, Marwan Asri, Kusdhianto Setiawan, Bowo Setiyono
Source
DOI: 10.26905/jkdp.v25i3.5822
Publisher
Universitas Merdeka Malang
Date
July 2021
Contributor
Sri Wahyuni
Rights
ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)
Format
PDF
Language
English
Type
Text
Coverage
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Files
Collection
Citation
Hayun Kusumah, Marwan Asri, Kusdhianto Setiawan, Bowo Setiyono, “Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific,” Repository Horizon University Indonesia, accessed November 10, 2024, https://repository.horizon.ac.id/items/show/4804.
Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific,” Repository Horizon University Indonesia, accessed November 10, 2024, https://repository.horizon.ac.id/items/show/4804.