Conditional autocorrelation and stock market integration in the Asia-Pacific Kim, Suk-Joong en_US McKenzie, Michael D. en_US
dc.contributor.other Kim, Suk-Joong en_US
dc.contributor.other McKenzie, Michael D. en_US 2021-11-25T13:37:31Z 2021-11-25T13:37:31Z 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.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 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.description.notePublic DOI: en_US
unsw.description.publisherStatement Book Series Homepage: en_US
unsw.identifier.doiPublisher 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 School of Banking & Finance *
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