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Journal of Economic Integration 2013 September;28(3) :441-456.
Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations
Aviral Kumar Tiwari
Arif Billah Dar
Niyati Bhanja and 
Aasif Shah 
ICFAI University Tripura, Tripnra, India
Pondicherry University, Pnducherry, India
Corresponding Author: Aviral Kumar Tiwari ,Tel: +91 8974105653, Email:
Copyright ©2013 Journal of Economic Integration
This study examines the integration of nine Asian stock markets using the new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Fernandez (2012). This novel approach eliminates several limitations which are encountered when conventional pairwise wavelet correlation and cross-correlation are used to assess the comovement of a set of stock indices. Our results show that Asian stock markets are highly integrated at lower frequencies and comparatively less integrated at higher frequencies. From the perspective of international investors, the Asian stock markets therefore offer little potential gains from international portfolio diversification especially for monthly, quarterly, and bi-annual time horizon investors, whereas, higher potential gains are expected at intraweek, weekly, and fortnightly time horizons.

JEL Classification
F36: Financial Aspects of Economic Integration
G11: Portfolio Choice; Investment Decisions
G15: International Financial Markets
Keywords: Asian Countries | International Portfolio Diversification | Stock Market Integration | Wavelet Multiple Correlation
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