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Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study

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Abstract

In this paper, we examine the dynamic nature of equity market integration for the South Asian countries. The daily data for local equity indices is used from 6 January 2004 to 31st March 2015. Copula GARCH models have been employed to study the inter-temporal process of equity market integration. Empirical results show that the sample countries of the region exhibit very little or no levels of integration between them. Equity portfolio flows within the South Asian region reconfirm the findings based on price data that regional integration is strengthening over time. Further, trend analysis of the fundamental determinants of financial integration for the SAARC member states indicated that these countries have to work on their governance parameters, improve on their trade linkages and trade tariffs and develop their equity market infrastructure to achieve higher levels of financial integration as is observed by its neighbouring ASEAN+6 group members. The paper contributes to the International Finance literature, especially dealing with regional economic blocs by suggesting that South Asian member countries require collaboration in efforts of policy realignment and above all political commitment to make their alliance viable enough to enhance equity market integration
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hal-01885142 , version 1 (01-10-2018)

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  • HAL Id : hal-01885142 , version 1

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Sanjay Sehgal, Piyush Pandey, Florent Deisting. Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study. 2017. ⟨hal-01885142⟩
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