Publication:
Conditional autocorrelation and stock market integration in the Asia-Pacific
Conditional autocorrelation and stock market integration in the Asia-Pacific
dc.contributor.author | Kim, Suk-Joong | en_US |
dc.contributor.author | McKenzie, Michael D. | en_US |
dc.contributor.other | Kim, Suk-Joong | en_US |
dc.contributor.other | McKenzie, Michael D. | en_US |
dc.date.accessioned | 2021-11-25T13:37:31Z | |
dc.date.available | 2021-11-25T13:37:31Z | |
dc.date.issued | 2007 | en_US |
dc.description.abstract | This paper considers the relationship between stock market autocorrelation and i) the presence of international investors which is proxied by the level of capital market integration, and ii) stock market volatility. Drawing from a sample of stock indices for a range of emerging or newly emerged markets, significant evidence of a relationship between the presence of international investors and the level of stock market autocorrelation is found. This evidence is consistent with the view that international investors are positive feedback traders. Robustness testing of this model suggests that the trading strategy of international investors changed as a result of the Asian currency crisis. The evidence for the role of volatility in explaining autocorrelation is, however, is generally weak and varies across the sample countries. | en_US |
dc.identifier.isbn | 9780762314713 | en_US |
dc.identifier.uri | http://hdl.handle.net/1959.4/40136 | |
dc.language | English | |
dc.language.iso | EN | en_US |
dc.publisher | Emerald Group / Elsevier | en_US |
dc.rights | CC BY-NC-ND 3.0 | en_US |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/3.0/au/ | en_US |
dc.source | Legacy MARC | en_US |
dc.subject.other | market integration | en_US |
dc.subject.other | conditional autocorrelation | en_US |
dc.subject.other | Markov models | en_US |
dc.subject.other | stock markets | en_US |
dc.title | Conditional autocorrelation and stock market integration in the Asia-Pacific | en_US |
dc.type | Book Chapter | en |
dcterms.accessRights | open access | |
dspace.entity.type | Publication | en_US |
unsw.accessRights.uri | https://purl.org/coar/access_right/c_abf2 | |
unsw.description.notePublic | DOI: http://dx.doi.org/10.1016/S1569-3767(07)00004-0 | en_US |
unsw.description.publisherStatement | Book Series Homepage: http://www.emeraldinsight.com/Insight/viewContainer.do?containerType=BookSeries&containerId=15000053 | en_US |
unsw.identifier.doiPublisher | http://dx.doi.org/10.1016/S1569-3767(07)00004-0 | en_US |
unsw.relation.faculty | Business | |
unsw.relation.ispartofpagefrompageto | 63-94 | en_US |
unsw.relation.ispartoftitle | Asia-Pacific Financial Markets: Integration, Innovation and Challenges (International Finance Review, Vol. 8) | en_US |
unsw.relation.originalPublicationAffiliation | Kim, Suk-Joong, Banking & Finance, Australian School of Business, UNSW | en_US |
unsw.relation.originalPublicationAffiliation | McKenzie, Michael D., RMIT University | en_US |
unsw.relation.school | School of Banking & Finance | * |
Files
Original bundle
1 - 1 of 1