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Article Dans Une Revue Open Economies Review Année : 2016

Long-Run Comovements in East Asian Stock Market Volatility

Gilles de Truchis
Benjamin Keddad
  • Fonction : Auteur

Résumé

Two integrated stock markets are generally subjected to common shocks revealing that commonalities in fundamentals drive their underlying return processes. In such a case, volatility series should share a long-run component although their transitory components might temporary diverge. In this paper, we investigate stock market integration in East Asia by analyzing the co-persistent nature of their ex-post observed volatility. Using recent fractional cointegration techniques, we find that volatility of several markets converges in the long run to a common equilibrium. Our results reveal that a global integration process drives the most developed markets of the region, while no evidence of co-persistence appears for emerging markets.

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Dates et versions

hal-01549713 , version 1 (29-06-2017)

Identifiants

  • HAL Id : hal-01549713 , version 1

Citer

Gilles de Truchis, Benjamin Keddad. Long-Run Comovements in East Asian Stock Market Volatility. Open Economies Review, 2016, 27, pp.969 - 986. ⟨hal-01549713⟩
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