À繫¿¬±¸ Á¦ ±Ç È£ (2014³â 8¿ù)
Asian Review of Financial Research, Vol., No..
pp.112~146
pp.112~146
What does drive dynamic integration of stock markets in the Pacific basin region? : A quantile regression approach
Hyunchul Lee Divison of Business Administration, Chosun University, Gwangju, Republic of Korea
Kyewon Lee Divison of Business Administration, Chosun University, Gwangju, Republic of Korea
Seoungmo Cho School of Economics and Finance, Yeungnam University, Daegu, Republic of Korea
Using the novel methods of the conditional nonlinear quantile regression and pairwise realised moments, we aim to shed lights on its economic drivers on dynamic integration of stock markets in the Pacific basin for the full sample periods 1990-2012. We find empirical evidence that the recent integration of stock markets in the Pacific basin region have been significantly driven by the lower differences (i.e., higher similarities) of a variety of the economic performances between sample countries over the recent decades. In particular, this study suggests an interesting existence of nonlinearities for the effects of the economic drivers on the integration of stock markets in this region.
Hyunchul Lee
Kyewon Lee
Seoungmo Cho
Using the novel methods of the conditional nonlinear quantile regression and pairwise realised moments, we aim to shed lights on its economic drivers on dynamic integration of stock markets in the Pacific basin for the full sample periods 1990-2012. We find empirical evidence that the recent integration of stock markets in the Pacific basin region have been significantly driven by the lower differences (i.e., higher similarities) of a variety of the economic performances between sample countries over the recent decades. In particular, this study suggests an interesting existence of nonlinearities for the effects of the economic drivers on the integration of stock markets in this region.
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.