یکپارچه سازی بازار صاحبان سهام در منطقه آسیا و اقیانوسیه: شواهدی از ضرایب تخفیف

The paper investigates stock market integration among 10 economies in the Asia Pacific region over the period April to May 2006 based on a recently developed technique that relies on estimating expected discount rates; see Flood and Rose, 2005a and Flood and Rose, 2005b. The results show a limited but varying degree of stock market integration among the 10 economies. Membership in a formal economic organization does not seem to affect the degree of integration.

This paper investigates stock market integration among 10 economies in the Asia Pacific region based on a recently developed technique by Flood and Rose, 2005a and Flood and Rose, 2005b. Investigating international stock market integration is useful both from a financial and an economics point of view. A large body of literature has emerged on the macroeconomic gains of international financial integration mainly through the channel of international risk sharing; see for example the seminal work of Obstfeld (1994) and more recent studies by Wright (2005), Gourinchas and Jeanne (2006), Bekaert et al. (2006), and Morgan and Snowden (2007). Most empirical studies that test for integration can be grouped into two categories. The first are studies employing financial economics models, such as explicitly estimating capital asset pricing models (CAPM), analyzing return and volatility spill-overs between markets in a GARCH model framework or use a latent factor model framework; see, for example, Chung and Rhee (2002), Bekaert et al. (2005), Jeon et al. (2006), and Hardouvelis et al. (2006). The second category are studies employing times series tools such as cointegration analysis, bivariate and multivariate, vector autoregression (VAR) analysis including those allowing for error correction terms; see, for example, Dickinson (2000), Ng and Siklos (2001), and Masih and Masih (2002). The results have been mixed, with some studies finding stock market integration within the Asia Pacific region while others find some segmentation; see Ng and Siklos (2001) and Johnson and Soenen (2002) for supporting evidence for integration and Yang et al. (2003), Click and Plummer (2005), and Jeon et al. (2006) supporting evidence for segmentation. The one point studies do seem to agree on though is that integration has been increasing over time, particularly since the Asian financial crisis of 1997. This paper takes a step back from the more traditional empirical methods and applies a recently developed technique by Flood and Rose, 2005a and Flood and Rose, 2005b. The idea is that, in integrated markets, assets are priced by the same stochastic discount factor (SDF). Expectations of the marginal rate of intertemporal substitution are estimated for each of the 10 economies. Similar estimates point to integration while dissimilar estimates indicate stock market segmentation. Comparing expected discount rates is only a weak test for integration as it tests a necessary but not sufficient condition for asset market integration. Passing the test may imply integration but rejection implies segmentation. The paper applies the technique to daily data in 2006. The choice of date was driven by the desire to utilize the most recent observations as stock market integration in the Asia Pacific regions is on a rising path but to also steer clear of the global financial crisis that had its beginning with the collapse of the sub-prime mortgage market in the United States in February 2007. The paper focuses on integration, links between stock markets in “normal” economic times rather than contagion which refers to links in crisis periods over and above normal links. Analyzing stock market integration in the Asia Pacific region is a particularly interesting exercise because the region covers a variety of economies. It includes developed economies such as Australia and Japan, the export-led growth Asian tigers of Hong Kong, South Korea, Singapore and Taiwan as well as emerging economies such as India and Thailand. The countries within the sample also display varying degrees of direct and possibly indirect barriers to capital flows with New Zealand displaying virtually no and Malaysia some formal capital controls.1 Varying degrees of formal frameworks apply to the different economies which is expected to affect integration. All are members of the World Trade Organization (WTO), all barring India are part of the Asia-Pacific Economic Cooperation (APEC), and Malaysia, Singapore, and Thailand are members of Association of Southeast Asian Nations (ASEAN). The WTO has the loosest framework of formal cooperation while ASEAN has the tightest with the goal of creating a single market.2 Table 1 and Table 2 give an indication of the diversity of the region. Tables 1 shows that Japan is the largest economy in the Asia Pacific region, in terms of share of gross domestic product (GDP) in world and regional GDP (columns 2 and 3) and the most developed in terms of GDP per capita (column 4). India is a relatively large economy with large shares in world and regional GDP but it is also the least developed economy with the lowest GDP per capita in the sample. There are also large differences in trade dependency indicated by the share of total trade in GDP (column 5). The sample includes ultra-open economies such as Singapore, Malaysia, and Hong Kong with trade as a share of GDP between 200 and 400 per cent and more closed economies such as India and Japan with trade share of 38 and 26 per cent of GDP. Table 1. GDP and trade shares, 2004. Economy Country GDP as a share of world GDP (%) Country GDP as a share of regional GDP (%) GDP per capita US$ Total trade as a share of GDP (%) (1) (2) (3) (4) (5) Australia 1.5 8.1 30,739 40.7 Hong Kong 0.4 2.2 24,258 214.0 India 1.6 8.7 609 37.7 Japan 11.3 61.6 36,594 26.7 South Korea 1.6 9.0 14,186 50.5 Malaysia 0.3 1.6 4604 226.9 New Zealand 0.2 1.3 23,876 60.4 Singapore 0.3 1.4 23,738 438.8 Taiwan 0.7 4.0 13,480 133.4 Thailand 0.4 2.2 2547 142.2 Ten economy total 18.3 100.0 5387 51.1 Source: ADB, IMF, OECD, WTO, and dataset accompanying Lane and Milesi-Ferretti (2006). Table options Table 2. Doing business 2009 – rank of 181. Economy Ease of doing business Trading across borders Protecting investors (1) (2) (3) (4) Australia 9 45 53 Hong Kong 4 2 3 India 122 90 38 Japan 12 17 15 South Korea 23 12 70 Malaysia 20 29 4 New Zealand 2 23 1 Singapore 1 1 2 Taiwan 61 30 70 Thailand 13 11 10 Source: The World Bank. Table options Table 2 shows each economy's relative position of a total of 181 economies in the World Bank's Doing Business ranking. It shows the overall rank (column 1) and two subcomponents, the Trading across borders (column 3) and Protecting investors (column 4). Singapore, New Zealand, and Hong Kong take first, second and fourth position in the overall World ranking. Singapore and Hong Kong also rank highly in trading across borders and protecting investors while New Zealand receives a high score for protecting investors but scores lower for trading across borders. Thailand receives a somewhat surprisingly high ranking, 13th overall and similar to that of Japan. However, this relatively high ranking is line with the relatively high degree of stock market integration of Thailand found in this study. The results in this paper suggest that stock markets within the Asia Pacific region are segmented, but the degree of segmentation varies across the 10 economies. Results show a relatively higher degree of integration for Japan, Hong Kong, and New Zealand. This is not surprising as Japan and Hong Kong are financial centers in the region and New Zealand is a small open and very deregulated economy. The two most puzzling findings are the lack of integration in the region of Singapore, a developed and ultra open economy and the lack of bilateral integration of Australia and New Zealand, two countries with close economic and historical ties. This suggests that financial market liberalization is a necessary but not sufficient condition for stock market integration. The paper is organized as follows. Section 2 outlines the methodology for estimating expected discount rates and the data used. Section 3 discusses the estimation results and some test statistics. Section 4 offers a few concluding remarks.

This paper investigated stock market integration among the 10 economies of Australia, Hong Kong, India, Japan, South Korea, Malaysia, New Zealand, Singapore, Taiwan, and Thailand. Examining asset market integration in the Asia Pacific region has been receiving increased attention particularly since the Asian financial crisis in 1997. Results have been mixed. This paper takes a step back from the more traditional empirical tools and applied a new technique developed by Flood and Rose, 2005a and Flood and Rose, 2005b that relies on estimating and comparing time varying expected discount rates. Overall, stock markets in the Asia Pacific region display a limited degree of integration but the degree of segmentation varies among the 10 economies. The message that resonates from the findings here is that financial market liberalization is a necessary but not sufficient condition for stock market integration. Some of the results are as expected, such as the relatively higher degree of stock market integration of Japan, Hong Kong, and New Zealand and the relatively lower degree of integration of Taiwan and Malaysia. The more unexpected results are the fact that membership in a formal economic organization does not seem to increase stock market integration, a relatively low degree of overall stock market integration of Singapore and the low bilateral integration of Australia and New Zealand. Goods and services and labour flow virtually freely across the Tasman Sea, yet the New Zealand stock market seems to be more integrated with that of Japan than that of Australia. Also, there has been a real push within ASEAN to liberalize financial flows within the association yet stock market integration is rejected between the three member countries in this sample. The message that these results point to is that despite liberalization important institutional barriers to international capital flows may remain translating into segmented capital markets. A likely candidate for an institutional barrier in the case of Australia and New Zealand is taxation. Neither economy accepts the other's imputation tax credit. In both economies, credits are attached to dividends for income tax that has been paid at the company level. But the relief is generally restricted to company taxes paid within the jurisdiction. This may cause stock market segmentation as dividends paid to foreigners are taxed twice. The importance of the imputation tax system for asset market integration is the next step in understanding international financial market integration.