Theoretical and Applied Economics
No. 3 / 2022 (632), Autumn
Stock market linkages in Asia. Revisiting Granger causality evidences
Cochin University of Science and Technology, India
Abstract. In this research, using the most recent daily stock index data of Japan, Singapore, South Korea, India and China, we revisit the financial integration in Asia. The study applies Granger causality and Impulse Response Function to analyse the pattern of equity market integration in the region. The findings of the study reveal that price convergence among Asian stock markets is still relatively weak. In general, causality is unidirectional and existing among most markets with shortlived impacts. The asymmetrical price behaviour of Asian markets has implications for the pricing efficiency of national markets and suggests many opportunities for global investors to optimize returns through market diversifications on a long-term perspective.
Contents
Financial development and public debt. Estimating the role of institutional quality
An econometric approach to analyse the perceived cartel behaviour of OPEC
Global Competitiveness Index 4.0 and export performances of the European economies
Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors
Using automated systems to run a modern state and benchmarking the solution with advanced indicators
Health expenditure, life expectancy, fertility rate, CO2 emissions and economic growth Do public, private and external health expenditure matter?
The economic effects of working remotely: causes and implications
Cash conversion cycle and its relationship with profitability as a cash management tool in companies: An application on companies trading in Borsa Istanbul
Measuring financial inclusion and its present status in South Asian countries. Evidence from a multidimensional Financial Inclusion Index
Stock market linkages in Asia. Revisiting Granger causality evidences
The effects of exchange rate changes on the bilateral trade balances between the MENA country group and France: empirical evidences based on non-linear ARDL approach
Postmodernism and communication in education. European funds for combatting school dropout in Romania
Fiscal and monetary policy effects on economic growth in Romania (1990-2020)
Economic growth at the expense of technology
Inflation seriously affects the standard of living of the population