An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5

This study aims to examine the co-movement of stock market volatility between China and ASEAN-5 countries from the year 2000 to 2009. This study applies the standard linear GARCH (1, 1) model where these models estimate using monthly price data from year 2000 to 2009 for China, Malaysia, Singapore, Thailand, Indonesia and Philippines. The standard time series econometrics analysis is used which are ADF unit root test, JJ co-integration test, and Granger causality test. The results indicate the co movement of stock market volatility between China and ASEAN-5 have fairly relation among them. The result shows there are two way relations which are bidirectional causality between china and Indonesia; China and Thailand; and China and Singapore. Meanwhile, there have no causality relation between China and Malaysia; and also China and Philippines. Though, it can be concluded that there are relationship between regions in the stock market volatility

A Currency Union in East Asia

This paper investigates prospects of a currency union in East Asia, focusing on trade and financial integration occurring in the region. We find, based on a dynamic factor model, regional common shocks have been quantitatively important for output variations in the Asian economies. We expect that continuing trade integration in the region will lead to further synchronization of business cycles, thereby encouraging East Asian countries to create a currency union in the region. In contrast to trade, however, financial liberalization in East Asia tends to lead to more global integration, rather than regional integration, of the financial systems, and thereby is not likely to develop favorable conditions for forming a regional currency union among East Asian countries.

Investigating abnormal volatility transmission patterns between emerging and developed stock markets: a case study

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents, respectively North America, Europe and Asia. We also investigate whether selected emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical analysis is focused on seven developed stock market indices, i.e. IBEX35 (Spain), DJIA (USA), FTSE100 (UK), TSX Composite (Canada), NIKKEI225 (Japan), DAX (Germany), CAC40 (France) and five emerging stock market indices, i.e. BET (Romania), WIG20 (Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework includes symmetric and asymmetric GARCH models i.e. EGARCH and GJR which are performed in order to capture asymmetric volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH models revealed that all selected financial markets are highly volatile, including the presence of leverage effect. The stock markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis

Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in fundamentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory components might temporary diverge. Accordingly, we investigate financial integration in East Asian by analyzing the co-persistent nature of their integrated volatilities. Using recent fractional cointegration techniques, we find that volatilities of several markets converge in long-run to a common stochastic equilibrium. Our results reveal that a global integration process drives the most developed markets of the region, while no evidence of co-persistence appears between emerging markets

Considerations in Future Development of the IIASA Forest Sector Project: Model Structure, Product Demand Models, Product Category Definition, Geographical Aggregation, and Data Availability

The Forest Sector Project at IIASA has advanced to the stage of producing an embryonic prototype model. The prototype is intended to serve as a guide for development of detailed individual or multi-country models of the forest sector, which is one of the principal objectives of the Forest Sector Project. The current prototype model is intended as a first approximation and therefore lacks detail within any given module. Further, no firm decisions have been made on the procedures to be employed in pursuit of the Project's second major objective, the analysis of global trade in forest products. It is appropriate at this stage, therefore, to begin a more detailed consideration of some of the fundamental decisions which must be made in the future development of the Project. This paper is intended to serve as a stimulus for further discussion, and ultimately decisions, on options for modeling the forest sector at the national and global levels. It addresses four broad topics thought to be crucial at this stage of project development: (1) the overall direction and organization of the Forest Sector Project at IIASA, (2) definitions of product categories and the specific degree of geographical aggregation to be employed in the analysis of global trade, (3) alternatives for modeling the critical elements of demand for forest products in both detailed country and global trade studies, an (4) problems of data availability and consistency which will likely be encountered as work on the Forest Sector Project proceeds

A bibliometric review of financial market integration literature

We undertake a meta-literature review on the topic of financial market integration (FMI), covering 260 articles from 1981 to 2021. Our review consists of quantitative analysis of bibliometric citations concomitant with qualitative analysis of content, towards a goal of identifying primary research streams and proposing directions for future research. We identify five research groups: (1) portfolio diversification with financial market integration; (2) general equity market integration; (3) financial market linkage with respect to crises and events; (4) time-varying financial market integration; and (5) co-movements and spillovers between commodities and financial markets; as well as present a wide array of future research directions. We conduct an extensive review of FMI literature, answering several questions: (1) What is the domain of FMI research?; (2) What are the influential aspects of top journals and authors, and the characteristics of the most studied topics?; (3) What are the past and current key research streams in FMI literature?; and (4) What are the substantial future relevant research questions to explore regarding FMI? Given the ongoing attention on financial market integration by both academicians and policy makers, our results should be of great interest