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Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations
( Aviral Kumar Tiwari ),( Arif Billah Dar ),( Niyati Bhanja ),( Aasif Shah ) 세종대학교 경제통합연구소 2013 Journal of Economic Integration Vol.28 No.3
This study examines the integration of nine Asian stock markets using the new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Fernandez (2012). This novel approach eliminates several limitations which are encountered when conventional pairwise wavelet correlation and cross-correlation are used to assess the comovement of a set of stock indices. Our results show that Asian stock markets are highly integrated at lower frequencies and comparatively less integrated at higher frequencies. From the perspective of international investors, the Asian stock markets therefore offer little potential gains from international portfolio diversification especially for monthly, quarterly, and bi-annual time horizon investors, whereas, higher potential gains are expected at intraweek, weekly, and fortnightly time horizons.