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Asia-Pacific Financial Markets, Volume 8: Integration, by Suk-Joong Kim, Michael McKenzie

By Suk-Joong Kim, Michael McKenzie

This quantity of "International Finance overview" specializes in the Asia-Pacific monetary markets. a complete of twenty-two unique papers, now not released in different places, were chosen from a aggressive box. those papers make the most of various equipment, together with theoretical, empirical and qualitative to focus on more than a few concerns around the sector. numerous papers provide mixtures of those assorted different types and one of the empirical papers, there are a large choice of datasets analyzed. whereas China does play an important half within the research of 5 of the papers during this quantity (this is to be anticipated given its significance within the region), a bunch of different international locations also are considered.This guarantees the quantity is actually foreign in its scope. those papers each one serve to give a contribution to the information on a selected factor relating to the monetary markets inside of this quarter and for this quantity, 3 major matters were pointed out: integration, innovation and demanding situations. Articles are contributed by way of specialists of their fields. it truly is actually foreign in scope.

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Additional resources for Asia-Pacific Financial Markets, Volume 8: Integration, Innovation and Challenges

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The estimated measures of linear feedback are presented in Table 2. Similar conclusions can be drawn from the results of linear feedback. Relatively, Thailand and the Philippines appear to exhibit a higher degree of regional financial integration, while the process of integration seems weaker in other ASEAN countries. Following Brailsford et al. (2002, 2006), we also estimate the confidence intervals for these measures. Except for Thailand and the Philippines, the estimates for Singapore, Malaysia and Indonesia Table 2.

Sample period: 1 July 1988 to 23 March 2006. t-statistics in brackets. 27 28 Table 6. Interrelationships between Stock Market Returns in the United States, Japan, China and Malaysia without a Forgetting Factor. Malaysia 2 0 6 6 À 0:035 6 7 ð2:17Þ 6 dUSt 7 6 6 7 6 6 7 ¼ 6 0:054 6 dJ t 7 6 5 6 4 6 ð2:52Þ 4 dC t 0:113 2 dM t 3 0 0 0 0:071 0 À 0:059 ð3:68Þ 0 ð3:75Þ 2 0 0 6 60 6 þ6 60 6 4 0 6 6 6 þ6 6 6 4 0 0 ð2:03Þ ð3:50Þ 2 32 3 À 0:097 dM tÀ3 6 ð3:88Þ 76 6 76 dUS 7 0 0 6 0 tÀ3 7 76 7 6 76 þ 7 6 76 dJ 0 0 7 0 74 tÀ3 5 6 6 5 4 0 0:086 0 dC tÀ3 ð3:34Þ 0 0 À 0:063 0 0 ð2:51Þ 0 0 0 0 0 0 0 0 0 0 2 3 0 0 2 dM tÀ6 3 6 76 6 76 dUS 7 0 tÀ6 7 07 7 6 6 76 þ 6 7 76 dJ 0 7 6 tÀ6 07 5 6 4 54 0 dC tÀ6 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0:087 ð2:92Þ 0 0 0 0 0 0 3 3 0 2 7 dM tÀ2 7 76 0 76 dUStÀ2 7 7 76 7 76 0 76 dJ tÀ2 7 5 74 5 0 dC tÀ2 3 2 3 2 0:064 ð2:51Þ 7 dM tÀ4 7 6 76 0 0 76 dUStÀ4 7 6 6 7 60 76 7þ 76 76 dJ tÀ4 7 6 0 0 5 6 74 40 5 0 0:092 dC tÀ4 0 ð3:56Þ 32 3 0 dM tÀ7 76 76 dUS 7 0 tÀ7 7 76 7 76 7 76 dJ 0 74 tÀ7 7 5 5 0:055 dC tÀ7 ð2:13Þ 0 0 0:083 ð1:98Þ À 0:074 ð2:37Þ 0 0 0 0 0 0 3 0 2 dM tÀ5 3 76 76 dUS 7 tÀ5 7 07 7 76 7 76 6 7 dJ tÀ5 07 5 54 dC tÀ5 0 M denotes stock market index in Malaysia (in logarithms), US the United States, J Japan, C China and d first difference.

In contrast, the Philippines and Indonesia seem more financially integrated with other ASEAN countries than with the wider Asia-Pacific region. Thailand appears well integrated with both the ASEAN and Asia-Pacific regions. Again, Malaysia is lagging behind in the process of financial integration with the wider Asia-Pacific region. 5. SUMMARY In this chapter, we demonstrate the usefulness of the forgetting factor technique in the investigation of financial integration. We use a forgetting factor to account for evolution in the interrelationships among financial Interrelationships between Stock Market Returns in the United States, Japan, China and the Philippines with a Forgetting Factor.

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