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Financial Integration and Diversification Benefits: Evidence from China and the ASEAN Countries
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Investment constraints Home bias
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In this paper, we investigate the level of financial integration across equity markets in China and four ASEAN countries: Indonesia, Malaysia, Philippines, and Thailand. Using beta and sigma convergence and a dynamic conditional correlation that incorporates the wavelet analysis, we find that financial integration across these markets has fluctuated over the last decade and reached weak to moderate levels in the post-crisis period. Our results also indicate that an investor can still benefit from a cross-nation diversification strategy within this region.
Lead & Corresponding Author
Elisabeta Pana, Illinois Wesleyan University
Job Title
Associate Professor