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Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia

Id：2042 Date：20131014 Status：published ClickTimes：
作者Gregory C Chow, Shicheng Huang, Linlin Niu
正文This paper studies the economic integration of East Asian economies among one another and with the US using co-movement of stock market prices. Both time-varying correlations and regressions are employed. We have traced the increased integration from 1980 to 2011 among the NIEs of Korea, Hong Kong, Taiwan and Singapore, the increase in integration of China since the Shanghai stock market opened in 1990 and the effect of the recent great economic recession of the US on its economic influence on the East Asian economies.
JEL-Codes：C22, G12
关键词：economic integration, time-varying regressions, East Asia, China, US, Japan, stock prices.
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