بررسی یکپارچگی بازار مالی در آسیا - بازارهای سهام

Financial integration has strong implications for financial stability. On the one hand, financial integration among economies helps to improve their capacity to absorb shocks and foster development. On the other hand, intensified financial linkages in a world of increasing capital mobility may also harbour the risk of cross-border financial contagion. This paper provides a survey of high-frequency indicators to monitor the development of equity market integration in Asia. The results show that after slowing down between 2002 and 2006, the equity market integration process picked up again in 2007–08. Nevertheless, the process is not complete and the degrees of integration between mature and emerging equity markets are different. The divergence may be attributed to the difference in the political, economic and institutional aspects across jurisdictions in Asia.

Eleven years after the Asian financial crisis of 1997–1998 that devastated the Asian financial markets and economies, several regional initiatives, including the Chiang Mai Initiative and the Asian Bond Markets Initiative, have been put in place to strengthen the financial cooperation and integration in the region.1 The Chiang Mai Initiative (CMI) is part of the initiatives under the ASEAN+3 framework to promote regional financial cooperation.2 The CMI, launched in May 2000, aims to create a network of bilateral swap arrangements among ASEAN+3 countries to address short-term liquidity difficulties in the region and to supplement the existing international financial arrangements. Recently, the ASEAN+3 finance ministers committed to multilateralise the CMI by creating a self-managed reserve pooling arrangement governed by a single contractual agreement that allows its members to tap a regional pool of foreign exchange reserves to better fend off a financial crisis.3 Besides the CMI, two important capital market initiatives with the aim to help develop regional bond markets and enhance financial resilience for the region are in place. The first is the Asian Bond Market Initiative (ABMI). The ABMI, launched in August 2003, is also under the ASEAN+3 framework and aims to develop efficient and liquid bond markets in Asia, for better use of local savings for regional investments by focusing on the following two areas: (i) facilitating access to the market through a wider variety of issuers and types of bonds and (ii) enhancing market infrastructure to foster bond markets in Asia. The second one – the Asian Bond Fund (ABF) initiative, launched in 2002, lays the foundation for promoting the development of regional and domestic bond markets in the Asian region by developing regional bond funds.4 Apart from these regional initiatives, globalisation has made Asia a more integrated region through increase in cross-border trades and economic activities in the 1990s, resulting in an increase in cross-border financial activities. Despite these recent developments, the degree of intra-regional financial integration appears to lag behind the increase in trade (see Danareksa Research Institute, 2004). Such asymmetric development in economic and financial integration may impact on financial stability in the region. The issue of financial integration has strong implications for financial stability. On the one hand, financial integration would benefit the region through more efficient allocation of capital, a higher degree of risk diversification, a lower probability of asymmetric shocks and a more robust market framework (e.g., Umutlu et al., 2010). These effects would help improve the capacity of the economies to absorb shocks and foster development. On the other hand, intensified financial linkages in a world of high capital mobility may also harbour the risk of cross-border financial contagion, in particular when the region’s economies become more inter-dependent (e.g., Beine et al., 2010). In other words, financial instability in one economy could be transmitted to neighbouring economies more rapidly.5 Against this background, it is essential to have appropriate measures to monitor the development and assess the progress of financial integration in the region. This study provides a survey of indicators to monitor the development, measure progress and assess the state of equity market integration in the region. While Asian economies witness economic integration into regional and global markets in recent decades, empirical evidence of the extent of financial integration in the Asia region has been limited and inconclusive.6 This paper intends to fill this gap. In particular, the study attempts to address the following questions: • To what extent are the equity markets in the region integrated? • What is the evolution and the current level of equity market integration? Is it progressing, at a standstill, or even regressing?7 • What is the relative importance of regional (within Asia) vs. global (mainly the US) factors in intra-regional equity market integration? Policymakers are interested in equity market integration because (i) the equity market is a major alternative channel of corporate financing in the region; and (ii) shocks that impact on one equity market may potentially spread to others more rapidly when the markets are more integrated. For the purpose of assessing and monitoring the progress of equity market integration in the region, the indicators in this study are mostly of high frequency and permit an assessment of the dynamic evolution of equity market integration.8 As other measures in the literature, they vary in the scope and focus. A combined use of these indicators provides information on different dimensions of integration and thus gives regulators a more balanced picture regarding the general trend of equity market integration in Asia. Having said that, one should interpret the empirical results from these indicators with caution as all these indicators are statistical or model-based measures which are subject to technical limitations and modelling assumptions. For monitoring purposes these indicators should be supplemented by other integration measures such as the size of capital flows or cross-border holdings of financial assets.9 The remainder of this paper is organised as follows. In Section 2 we provide a brief review on the current issues related to financial integration in Asia and the traditional approaches of assessing financial integration. Section 3 presents the methodology and interpretation of the various indicators used in this study. Section 4 discusses the data and some preliminary analyses of the data series. Section 5 presents the estimation results from the integration indicators and examines their behaviours. Section 6 provides a summary and discussion.