Stock Market Integration across National Boundaries: Causes and Impediments
DOI:
https://doi.org/10.66674/mvp62g96Keywords:
Intemational CAPM, market integration, panel models, trading blocAbstract
‘Abstract: This study examines the factors that ead to integration of stock markets nto the ‘world network and those that impede this process using data on 26 markets of member counties of five trading blocs around the world, Using panel data models, higher rade openness, workd dividend yield changes and world term premium ar found to promote Integration of stock markets. On the ober hand, higher dividend yield diferent individual market volatility. interest rae, regional rade intensity, world market premium, credit premium and market volatility ar impediments 0 integration. Also, world events such as the Asian financial criss in 1997 and the recession at the begining of the new millennium hae ancgative impact on sock market integration. Surprisingly trading block afflaion is a significant determinant of market integration. The level of inition is highest among stock markets in the European Union (EU), whi the markets in the Association of South East Asia Nations Fre Trade Areal AFTA) are most segmented from the world market
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Copyright (c) 2008 cwhooy@usm.my, Kim-Leng Goh (Author)
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Authors retain copyright and grant Capital Markets Review the right of first publication. Articles are published under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence: https://creativecommons.org/licenses/by/4.0/. This licence permits sharing and adaptation for any purpose, including commercial use, provided appropriate credit is given, a link to the licence is supplied and any changes are indicated. Third-party material excluded from the article's licence must be clearly identified, and authors are responsible for obtaining any required permission.
