第4回研究会

開催日：

2016年7月6日 (水)　17:30-18:45

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

沖本 竜義 氏 (Australian National University)

タイトル：

Dynamics of Integration in East Asian Equity Markets

概要Abstract

This paper investigates the dynamics of integration in East Asian equity markets between the years 1995 and 2013 using a smooth-transition correlation GARCH model. Our results show that East Asian equity market integration among China and other countries has increased significantly since 2007, whereas integration among other East Asian equity markets excluding China increased significantly in an earlier period from the year 1999 to the year 2001. Additionally, we find that increasing integration has been mostly caused by correlation increases in after-trading hours. These results suggest that stock prices in East Asia are sensitive to Europe and US stocks because Europe and US investors were actively investing in East Asian stocks. Indeed, the periods reflect striking increases in integration that correspond approximately to the start of intensive Europe and US investment activity in East Asian stock markets.