یکپارچه سازی بازار سهام در منطقه آسیا و اقیانوس آرام: تجزیه و تحلیل انتقال آرام

We use a smooth transition logistic function to test for equity market integration in a sample of Asia-Pacific countries. This allows us to gauge the speed at which a market is becoming integrated. Of the countries we examine we find that Thailand has the fastest pace of global integration. When we examine the extent to which local integration is taking place, we find that Singapore is experiencing the fastest rise in market integration.

It is well documented that there has been a decline in the potential benefits of international diversification. This has been due largely to the increased levels of synchronicity displayed by many national equity markets. See, for example, Campbell and Hamao (1989), Eun and Shim (1989), and Taylor and Tonks (1989). Bekaert and Harvey (1995), Harvey (1995), and Korajczyk (1996) have shown, however, that emerging markets appear to exhibit relatively low correlations with developed equity markets, and can therefore provide diversification opportunities that may be unavailable in the latter. Partly due to diminishing diversification benefits in established markets, investors have recently focused to a greater extent than previously on underutilised and emerging markets. A consequence of this interest has been that many emerging markets have grown to become important sources of capital with a high return record. This is shown by Goetzmann and Jorion (1999) who find that the returns of a sample of emerging markets are three times higher than for a sample of developed markets. In this paper, we study the extent to which a sample of Asia-Pacific countries has become less segmented in recent years. The governments of all four countries that we study (Korea, Singapore, Taiwan, and Thailand) have each designated stock market expansion as a priority, and all have undertaken programmes of financial reforms designed to encourage foreign investment. As a result, we might expect at least some of these countries to experience an increase in market integration. The innovation in this paper is that we use a logistic smooth transition model to test whether the sample stock markets are becoming less segmented. The smooth transition model assumes that the move from one regime to another is not instantaneous. Instead, progress is assumed to be a gradual process. The smooth transition model is therefore quite appealing when applied to the study of stock market integration. We might expect that even when countries embark on a set of wide-ranging reforms likely to reduce market segmentation, it is unlikely that the impact of these changes will be felt immediately. The model we estimate can indicate how quickly a market is becoming integrated, and it will allow us to gauge, in a single coefficient, whether an increase in multilateral integration has taken place. We find that in the case of the Asia-Pacific countries, there has been a significant movement towards market integration during the late 1990s, both locally and globally. Of the countries in the region that we study, the pace of global integration appears to be greatest in Thailand. When focusing on local integration, we find that the stock market of Singapore is experiencing the fastest rise in market integration. We find no reduction in market segmentation either globally or locally in Taiwan. The remainder of our paper is set out as follows. Section 2 discusses previous work on equity market integration. Section 3 presents the data and looks at the changing patterns of integration in Asia-Pacific countries. Section 4 estimates the smooth transition model and presents the results. Section 5 summarises our paper and draws together the conclusions.

In this paper, a smooth transition logistic model is used to analyse changes to the level of market integration in the stock markets of four Asia-Pacific countries that have introduced liberalisation policies during the last decade. The smooth transition model allows us to gauge the speed at which a market is becoming integrated, facilitating comparisons between countries. This is not possible when conventional tests are used such as correlation analysis, vector autoregression models, or cointegration analysis. We have found that the markets of Korea, Singapore, and Thailand are becoming progressively less segmented, both locally and globally. In contrast, the market of Taiwan is not showing evidence of either local or global integration. When we study the pace of local integration, we find that local integration between the Asia-Pacific countries is occurring at a faster pace than global integration with the region.