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Market, country and world effects on regional equity market integration

This study explores the fundamental driving forces of regional equity market integration. The determinant factors are being categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of five regional trading blocs, namely AFTA, CER, EFTA,...

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Main Authors: Chee-Wooi, H., Kim-Leng, G.
Format: Conference or Workshop Item
Language:English
Published: 2009
Subjects:
HA Statistics
Online Access:http://eprints.um.edu.my/10999/1/C6_Market%2C_Country_and_World_effects_on_Regional_Equity_Mark.pdf
http://eprints.um.edu.my/10999/
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spelling my.um.eprints.109992014-12-17T01:45:46Z http://eprints.um.edu.my/10999/ Market, country and world effects on regional equity market integration Chee-Wooi, H. Kim-Leng, G. HA Statistics This study explores the fundamental driving forces of regional equity market integration. The determinant factors are being categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of five regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to August 2005. We measure market integration based on pricing errors as proposed by Korajczyk (1996) and Levine and Zervos (1998). Using panel regressions, our results show that regional equity integration is driven internally, where only individual-market volatility and economic fundamentals play a significant role in the process. Intra-bloc trade is found to enhance regional equity market integration, supporting the notion that regional convergence extends beyond the trade sector that is promoted in the trade agreements. We also document regime shifting effects during stock market crises, where regional markets became strongly integrated after a regional crisis, but integration is significantly weakened during a crisis that affected the world markets. Also, the level of regional equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated. 2009-11 Conference or Workshop Item NonPeerReviewed application/pdf en http://eprints.um.edu.my/10999/1/C6_Market%2C_Country_and_World_effects_on_Regional_Equity_Mark.pdf Chee-Wooi, H. and Kim-Leng, G. (2009) Market, country and world effects on regional equity market integration. In: International Conference on Business and Management Research, 22-24 Nov 2009, Bali, Indonesia. (Submitted)
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
language English
topic HA Statistics
spellingShingle HA Statistics
Chee-Wooi, H.
Kim-Leng, G.
Market, country and world effects on regional equity market integration
description This study explores the fundamental driving forces of regional equity market integration. The determinant factors are being categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of five regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to August 2005. We measure market integration based on pricing errors as proposed by Korajczyk (1996) and Levine and Zervos (1998). Using panel regressions, our results show that regional equity integration is driven internally, where only individual-market volatility and economic fundamentals play a significant role in the process. Intra-bloc trade is found to enhance regional equity market integration, supporting the notion that regional convergence extends beyond the trade sector that is promoted in the trade agreements. We also document regime shifting effects during stock market crises, where regional markets became strongly integrated after a regional crisis, but integration is significantly weakened during a crisis that affected the world markets. Also, the level of regional equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated.
format Conference or Workshop Item
author Chee-Wooi, H.
Kim-Leng, G.
author_facet Chee-Wooi, H.
Kim-Leng, G.
author_sort Chee-Wooi, H.
title Market, country and world effects on regional equity market integration
title_short Market, country and world effects on regional equity market integration
title_full Market, country and world effects on regional equity market integration
title_fullStr Market, country and world effects on regional equity market integration
title_full_unstemmed Market, country and world effects on regional equity market integration
title_sort market, country and world effects on regional equity market integration
publishDate 2009
url http://eprints.um.edu.my/10999/1/C6_Market%2C_Country_and_World_effects_on_Regional_Equity_Mark.pdf
http://eprints.um.edu.my/10999/
_version_ 1643688939925536768
score 13.211869

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