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Frontier stock market integration and the global financial crisis

Author

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  • Chen, Mei-Ping
  • Chen, Pei-Fen
  • Lee, Chien-Chiang
Abstract
This paper examines the stock market integration between frontier and leading markets, focusing on the periods of pre and post global financial crisis. Using time-series analysis, the results mostly support leading markets can Granger-cause frontier markets. Frontier markets in different regions have distinct relationships with leading markets. Population growth, industry value, interest rate, tax rate, and tariff of the frontier markets significantly influence the integration between both markets. Energy, gross national income, stock traded value, and high-technology exports of leading markets saliently influence the integration. Finally, the global financial crisis impacts the relationship between the frontier and leading markets and changes the determinants of stock market integration.

Suggested Citation

  • Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014. "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 84-103.
    • Handle: RePEc:eee:ecofin:v:29:y:2014:i:c:p:84-103
    DOI: 10.1016/j.najef.2014.05.004
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    More about this item

    Keywords

    Frontier market; Stock market integration; Financial crisis; Granger causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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