Professional Documents
Culture Documents
www.emeraldinsight.com/1755-4179.htm
QRFM
4,1
84
Received April 2011
Revised July 2011
Accepted August 2011
Abstract
Purpose The purpose of this paper is to organize and take stock of the present situation of research
on stock market integration by reviewing the available literature, to provide quick and easy access for
future researchers. Another objective of the present study is to classify the literature and to provide the
comprehensive bibliography on stock market integration and to analyse the findings and results of the
studies taken into consideration for review.
Design/methodology/approach A range of sources were searched to review the past literature
on stock market integration and out of thousands of papers, 100 research papers form the sample for
the present study. These 100 research papers are classified on the basis of various variables to know
the status of research on the same topic.
Findings This paper classifies the past literature on stock markets integration and finds that the
research work on the same area has been increased during the recent time period, especially from 2005
to 2010 and coverage of stock market integration across emerging economies has increased in recent
years. The study revealed many other findings also.
Originality/value The present paper provides the collection, classification and comprehensive
bibliography on stock market integration, which may be helpful for academicians, practitioners and
future researchers when studying the existing research work, as well as for considering future
researches on the same subject area.
Keywords Stock markets, Research work, Bibliographies, Classification, Stock market integration
Paper type Literature review
I. Introduction
Stock market integration can be defined as a condition in which stock markets in
different countries trend together and depict same expected risk adjusted returns. Two
markets are perfectly integrated if investors can pass from one market to another
without paying any extra costs and if there are possibilities of arbitration which
ensures the equivalence of stock prices on both markets (Jawadi and Arouri, 2008). The
issue of dynamic financial market integration among stock markets has become an
important topic in modern literature of financial economics that includes different
aspects of the interrelationship across stock markets. The internationalization of
securities markets attracts the attention of individual or institutional investors,
portfolio managers, researchers, practitioners and policy makers in view of recent
instability in investment levels and the global financial disorder, because their long
term investment decisions and policy implications depend on such research work. The
research on the degree or level of integration or linkages among the stock market
provides important implication on potential benefits of international diversification
and financial stability of an economy. Studying the degree of interdependence and
cointegration between stock markets round the world helps in improving the decision
making techniques and the international investor strategies. More interestingly, the
recent increase in international investors and the recent development of stock markets
and financial liberalization has caused such research work.
The concept of stock market integration gained importance during the 1980s but
most of the work has been done on this topic during past five to six years. Going
through the existing literature on stock market integration, we came to know that most
of the studies examined the integration among world stock markets only in a linear
framework using the usual correlation test as a tool for data analysis such as Hamao
(1990), Markellos and Siriopoulos (1997), Masih and Masih (1999), Chen et al. (2002),
Goh et al. (2005), Boujir and Lahrech (2008) and Mukhopadhyay (2009), whereas the
recent studies done by Hassan and Naka (1996), Masih and Masih (1997, 1999), Chang
and Nieh (2001), Karim and Gee (2006), Zhang (2009) and Karagoz and Ergun (2010)
concentrated mainly on newer econometric techniques, like Johansens cointegration
test, error correction mechanism, Granger causality test, variance decomposition (VDC)
function, impulse response function (IRF), etc. to test the integration hypotheses like.
Majority of research work on the concept of stock market integration was done in
USA (Hamao et al., 1990; Bekaert and Campbell, 1995; Ewing et al., 1999; Johnson and
Soenen, 2002; Majid et al., 2006; Tai, 2007), then the focus shifted to other countries, like
UK (Malkamaki et al., 1993; Markellos and Siriopoulos, 1997; Phylaktis and Ravazzolo,
2005; Wang and Moore, 2008), India (Ahmad et al., 2005; Siddiqui, 2008;
Mukhopadhyay, 2009; Siddiqui and Seth, 2010), Australia (Masih and Masih, 1997;
Kim and Shamsuddin, 2003; Simpson, 2008), Greece (Hardouvelis et al., 2006;
Gklezakou and Mylonakis, 2009), Malaysia (Ibrahim, 2005; Majid et al., 2008) and
others (Gjerde and Saettem, 1995; Maysami and Koh, 2000; Seabra, 2001; Fratzscher,
2002; Simpson and Evans, 2004; Yusof and Majid, 2006; Boujir and Lahrech, 2008;
Yi and Tan, 2009; Karagoz and Ergun, 2010). The theory of stock market integration is
becoming popular because the researchers and investors from other countries also
started exploring the linkages among the national stock markets and the world stock
markets for various purposes, depending on their interests.
Out of the research papers considered for this study, Kazi (2008) had considered the
maximum number of years in his study, i.e. 57 years, followed by Gutierrez and Otero
(2007), who have covered 38 years under their study and maximum number of
countries covered were 46 by Mukhopadhyay (2009), who have considered 23 stock
markets from developed countries and remaining 23 stock markets from emerging
economies. A research paper by Alam and Hasan (2003) studied only one stock market,
i.e. USA and tries to find out the causality between stock market development and
economic growth of the country.
Plenty of work has been done in the area of stock market integration and the aim
of this paper is to evaluate the current status of research and to systematically arrange
the past literature by reviewing the studies on stock market integration considered in
this review paper. The present study contemplates the published and unpublished
research work collected from various sources for the period of more than two decades
starting from 1990 to 2010. The rest of this paper is structured as follows: next section
discusses the rationale of the study, Section III describes the objectives of the study,
Section IV presents the data and methodology adopted for attaining the
objectives, Section V explains the literature on stock market integration and
Section 6 provide some concluding remarks future research implications.
Stock market
integration
85
QRFM
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86
these 105 research papers, 89 papers are from 55 refereed journals, one paper is an
international conferences paper and 15 papers are collected from various web sites and
institutes electronic databases for the period covering more than 20 years starting
from 1990 to 2010. The classification of various research papers from various sources
is presented in Table I. In Table I, these research papers are distributed on the basis
various approaches like year of study, country where the research took place, source of
study, sample data used, methodology adopted and the conclusions and findings
discovered.
B. Methodology
This paper is an attempt to present a review of stock market integration research,
published or unpublished, from various sources like academic research journals,
conference proceedings, web sites, and electronic databases between 1990 and 2010. It
may be noted that the practitioners publications, working papers and papers
presented in the conferences also contain a great deal of material on stock market
integration. So, apart from the research papers from refereed journals, the present
study also includes a research paper presented in a conferences at international level,
published or unpublished working papers and masters or doctoral thesis, as they
provide very useful information to the researchers or practitioners for collecting
information and publicize the new findings. However, the refereed academic research
journals represent the highest level of research in this paper.
The literature search was based on the keyword descriptor stock market
integration/linkages for selected databases and web sites for the period ranging from
year 1990 to 2010. The databases were searched for the keyword in the titles, abstracts,
keywords list and full text. This search has produced thousands of research papers but
the full text of most of these papers, subject to relevance, were reviewed to select those
papers that were actually related to stock market integration. Based on the relevance
and the consideration of the time period for this study, we finally obtained 105 research
papers related to stock market integration. The number of research papers considered
in the present study is reduced from thousands to hundreds because of the fact
that there were many papers which made relevant to stock market integration but
did not have stock market integration as the primary research topic. Therefore, this
final sample set of 105 research papers represents the actual population of stock
market integration literature contributed by the selected databases for the defined
time period.
The full texts of these 105 research papers were carefully studied to identify the
appropriate categorization. On the basis of review, the entire literature on stock market
integration was classified using systematic model shown in Figure 1. It was felt that
for achieving the objective of the present study, classification of whole stock market
integration literature data on the basis of this model would prove to be helpful. As
shown in Figure 1, the entire stock market integration literature can be classified into
the following categories:
.
Methodology/econometric tools adopted for data analysis.
.
Year wise classification of studies.
.
Country wise distribution of studies.
.
Number of years taken as a sample data set.
Stock market
integration
87
Table I.
Classification of literature
on stock market
integration
4 Hamao et al.
(1991), USA
5 Campbell and
Hamao (1992),
USA
6 Mittoo (1992),
Canada
Journal
Global Finance
Journal
The Journal of
Finance
The Journal of
Finance
10
19
Journal of
International
Money and
Finance
www.ssrn.
com
16
Journal of
Economics
and Business
Title of study
1 Hamao et al.
(1990), USA
S.
no.
10
Autocorrelation function,
dynamic simultaneous
equations model
Autocorrelation function
and GARCH models
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
88
Author(s), year
and country of
study
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4,1
11
The European
Journal of
Finance
23
12 Bekaert and
Campbell (1995),
USA
13 Gjerde and
Saettem (1995),
Norway
11
10
12
14
Managerial
Finance
www.ssrn.
com
10 Huth (1994),
USA
11 Chou et al.
(1994), USA
Scandinavian
Journal of
Management
12
Journal
Applied
Financial
Economics
Title of study
Findings and conclusions
Unit root (ADF) test, cross High degree of international co-movement was
correlation, IRF,
found among the stock price indices of the
multivariate VAR
markets understudy and the US stock market
has a considerable influence on stock market
performance in almost every country
Multivariate cointegration A stationary long-run relationship was found
test
between the indices of the markets understudy
during 1925-1936 and during the pre October
1929 stock crash period (1925-1929). Whereas,
no stationary relationship was found during
the post-crash period
(continued)
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
8 Smith et al.
(1993), USA
S.
no.
Author(s), year
and country of
study
Stock market
integration
89
Table I.
Table I.
18 Masih and
Masih (1997),
Australia
International
Advances in
Economic
Research
Global Finance
Journal
International
Review of
Economic and
Finance
Journal
Comovements of major
European community stock
markets: a vector
autoregression analysis
Diversification benefits in
the smaller European stock
markets
16 Friedman and
Shachmurove
(1997), USA
17 Markellos and
Siriopoulos
(1997), UK
15 Hassan and
Naka (1996),
USA
Title of study
16
20
Correlation coefficient,
unit root (ADF) test,
multivariate cointegration
test, Johansens vector
error correction model
(VECM)
Unit root (ADF, PP and
SMA) test, Granger
causality test, VDC and
correlation
Pearson correlation,
principal components and
cointegration analysis
Sample
data
No. of
(no. of sample Methodology/tools
years)a countries adopted for data analysis
90
S.
no.
Author(s), year
and country of
study
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4,1
24 Maysami and
Koh (2000),
Singapore
23 Masih and
Masih (1999),
Australia
22 Ewing et al.
(1999), USA
21 Christofi and
Pericli (1999),
USA
Journal of
Multinational
Financial
Management
Journal
Interdependence and
dynamic linkages between
stock markets of Sri Lanka
and its major trading
partners
Title of study
20 Elyasiani et al.
(1998), USA
S.
no.
Author(s), year
and country of
study
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
Stock market
integration
91
Table I.
Table I.
International transmission
of stock price movements
among Taiwan and its
trading partners: Hong Kong,
Japan and the United States
26 Huang et al.
(2000), Taiwan
28 Masih and
Masih (2001),
USA
29 Siklos and Ng
(2001), Canada
25 Sheng and Tu
(2000), Taiwan
Title of study
Journal of
International
Money and
Finance
Pacific
Economic
Review
Review of
Pacific Basin
Financial
Markets and
Policies
International
Review of
Financial
Analysis
Journal of
Multinational
Financial
Management
Journal
20
13
12
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
(continued)
92
S.
no.
Author(s), year
and country of
study
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4,1
33 Johnson and
Soenen (2002),
USA
34 Chen et al.
(2002), Hong
Kong
35 Fratzscher
Financial market integration International
(2002), Germany in Europe: on the effects of
Journal of
EMU on stock markets
Finance and
Economics
Journal of
Multinational
Financial
Management
Journal of
Banking
& Finance
Applied
Economics
Letters
Journal
A co-integration analysis
between Mercosur and
international stock markets
Title of study
30 Seabra (2001),
Brazil
S.
no.
Author(s), year
and country of
study
15
11
12
10
15
10
Autocorrelation,
correlation, unit root test
(ADF and PP),
cointegration test, error
correction VAR, impulse
response analysis
Trivariate GARCH model
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
Stock market
integration
93
Table I.
Table I.
Journal of
International
Money and
Finance
Journal of
International
Financial
Markets,
Institutions
& Money
The structure of
interdependence in
international stock markets
37 Bessler and
Yang (2003),
USA
38 Kim and
Integration and
Shamsuddin
interdependence of stock and
(2003), Australia foreign exchange markets: an
Australian perspective
Managerial
Finance
Journal
36 Chatterjee et al.
(2003), USA
Title of study
20
11
(continued)
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
94
S.
no.
Author(s), year
and country of
study
QRFM
4,1
Comovements of stock
Journal of
markets among selected OIC Economic
countries
Cooperation
41 Yang et al.
(2003), USA
42 Ceylan and
Dogan (2004),
Turkey
40 Wang et al.
(2003), USA
Journal
52
Title of study
12
Johansens cointegration
test, VECM and
generalized impulse
response analysis
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
S.
no.
Author(s), year
and country of
study
(continued)
Stock market
integration
95
Table I.
Table I.
46 Lucey and
Voronkova
(2004), Ireland
www.ssrn.
com
Research in
International
Business and
Finance
45 Simpson and
Evans (2004),
Dubai
International
Review of
Financial
Analysis
Journal
43 Yong et al.
Cointegration and causality
(2004), Australia in the Asian and emerging
foreign exchange markets:
evidence from the 1990s
financial crises
Title of study
10
14
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
96
S.
no.
Author(s), year
and country of
study
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4,1
48 Phylaktis and
Ravazzolo
(2005), UK
Journal of
Banking
& Finance
Journal of
International
Financial
Markets,
Institutions
and Money
Management
Research
News
Journal
International linkages of
stock prices: the case of
Indonesia
Title of study
47 Ibrahim (2005),
Malaysia
S.
no.
Author(s), year
and country of
study
11
14
19
16
17
The Indonesian markets does not share longrun relation with other ASEAN and advanced
markets in pre and post crisis period but
Indonesian market become more responsive to
advanced markets in the post crisis period and
more segmented from other ASEAN markets.
In short-run, Indonesian markets were found
responsive to ASEAN markets, especially to
US market as compared to the Japanese
market
Multivariate cointegration All the markets were not linked together for
analysis (autoregressive
both 80s and 90s but the close financial links
and moving average form) were found in Taiwan and Thailand with both
Japan and USA during 1980s. The Asian Crisis
did not affect the degree of linkages of these
markets. Japan played an important role as
compared to USA in influencing the Pacific
Rim
Conditional correlation,
A shift was found in European stock market
ARMA-EGARCH model
integration with the introduction of the EMU.
Both intraregional and inter-regional stock
market integration was found to be highly
volatile prior to the second half of the 1990s
and it had increased rapidly in the two years
leading up to the official launch of the euro
Vogelsang test, unit root
Correlation in stock returns was the strongest
test (ADF and PP),
and Indonesia leads the movements of the
correlation test, Granger
other indices during the crisis. The relative
causality test, VDC test,
influence of foreign shocks was much more felt
generalized IRF,
during the crisis. The stock indices were
Johansens cointegrarion
cointegrated before, but not during the crisis.
test
Short-run linkages of Malaysia with the other
markets have weakened after the crisis
(continued)
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
Stock market
integration
97
Table I.
Table I.
55 Oyefeso and
Fraser (2005),
UK
International
Review of
Financial
Analysis
www.ssrn.
com
Journal of
Asian
Economics
South Asia
Economic
Journal
Journal
53 Kyaw and
Aggarwal
(2005), USA
54 Lucey and
Voronkova
(2005), Finland
51 Click and
Plummer (2005),
USA
52 Ahmad et al.
(2005), India
Title of study
10
25
13
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
98
S.
no.
Author(s), year
and country of
study
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60 Maghyereh
(2006), Jordan
Regional integration of
stock markets in MENA
countries
57 Kurihara and
Nezu (2006),
Japan
58 DEcclesia and
Costantini
(2006), Italy
59 Karim and Gee
(2006), Malaysia
A Test of Integration
Between Emerging and
Developed Nations Stock
Markets
Title of study
56 Tambi (2005),
India
S.
no.
Author(s), year
and country of
study
Gadjah Mada
International
Journal of
Business
The European
Journal of
Finance
Applied
Econometrics
and
International
Development
Journal of
Emerging
Market
Finance
Studies in
Economics
and Finance
http://129.3.
20.41/eps/if/
papers/0506/
0506004.pdf
Journal
25
12
11
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
Stock market
integration
99
Table I.
Table I.
66 Veraros and
Kasimati (2007),
Greece
Conference
paper
www.ssrn.
com
A study of interlinkages
between the Indian stock
market and some other
emerging and developed
markets
Dynamic financial linkages
among selected OIC
countries: evidences from the
post-September 11
64 Mukherjee and
Bose (2006),
India
65 Majid et al.
(2006), USA
Journal of
Business
Journal
62 Ameer (2006),
UK
Title of study
15
11
11
Correlation coefficients,
vector autoregressive
models (VAR), Granger
causality tests,
cointegration technique
and TARCH model
Predictability test and
robust analysis
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
(continued)
100
S.
no.
Author(s), year
and country of
study
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Interdependence of major
world stock exchanges: how
is the Athens stock exchange
affected?
69 Glezakos and
Merika (2007),
Greece
70 Syriopoulos
(2007), Greece
International
Review of
Financial
Analysis
International
Research
Journal of
Finance and
Economics
68 Hoque (2007),
Bangladesh
Baltic Journal
of Economics
Journal
Interdependence of Nordic
and Baltic stock markets
Title of study
67 Nielsson (2007),
USA
S.
no.
Author(s), year
and country of
study
11
10
10
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
Stock market
integration
101
Table I.
Table I.
Applied
Financial
Economics
Letters
Integration analysis of Latin www.ssrn.
America stock markets 1993- com
2007
76 Simpson (2008),
Australia
75 Lucey and
Zhang (2007),
Ireland
74 Gutierrez and
Otero (2007),
Colombia
14
38
15
Managerial
Finance
21
73 Antoniou et al.
(2007), UK
Emerging
Market
Review
Journal
Title of study
03
Cointegration analysis,
Akdogan financial
integration score and
market capitalization
ratios
DCC model and
multivariate GARCH
GARCH models
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
102
S.
no.
Author(s), year
and country of
study
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4,1
82 Stasiukonyte
Nature of Baltic and
and
Scadinavian stock markets
Vasiliauskaite
integration process
(2008), Lithuania
81 Kazi (2008),
Australia
80 Gooijer and
Sivarajasingham
(2008), The
Netherlands
Parametric and
nonparametric Granger
causality testing: linkages
between international stock
markets
Is Australian stock market
integrated to the equity
markets of its major trading
partners
78 Li and
Majerowsk
(2008), UK
79 Majid et al.
(2008), Malaysia
Title of study
77 Boujir and
Lahrech (2008),
Morocco
S.
no.
Author(s), year
and country of
study
Economics
and
Management
International
Review of
Business
Research
Papers
Physica A
Research in
International
Business and
Finance
Global
Economic
Review
International
Research
Journal of
Finance and
Economics
Journal
57
19
19
11
Johansens cointegration
test and VECM
(continued)
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
Stock market
integration
103
Table I.
Table I.
www.bis.org
15
www.ssrn.
com
www.ssrn.
com
20
Exploring integration
between selected European
market indexes and sensex
85 Siddiqui (2008),
India
The
International
Journal of
Business and
Finance
Research
Pranjana
13
18
84 Jawadi and
Arouri (2008),
France
The
Manchester
School
Supplement
Journal
83 Wang and
Moore (2008),
UK
Title of study
15
12
Sample
No. of
data
(no. of sample Methodology/tools
a
years) countries adopted for data analysis
104
S.
no.
Author(s), year
and country of
study
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Vision The
Journal of
Business
Perspective
Review of
Market
Integration
Financial market
integration: the Indian
experience
Interdependence of the
developing stock markets,
before and during the
economic crisis: the case of
South Europe
93 Mukhopadhyay
(2009), India
94 Gklezakou and
Mylonakis
(2009), Greece
Journal of
Money,
Investment
and Banking
Journal of
Multinational
Financial
Management
91 Alkulaib et al.
(2009), Kuwait
International
Journal of
Emerging
Markets
Journal
Title of study
90 Majid et al.
(2009), Malaysia
S.
no.
Author(s), year
and country of
study
14
19
46
11
12
(continued)
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
Stock market
integration
105
Table I.
Table I.
www.financeinnovation.
org
17
30
10
99 Arouri and
Jawadi (2009),
France
Cointegration of Indian
stock markets with other
leading stock markets
97 Menon et al.
(2009), Saudi
Arabia
Journal of
Emerging
Market
Finance
Studies in
Economics
and Finance
20
10
96 Bhaduri and
Samuel (2009),
India
The Singapore
Economic
Review
Journal
An empirical analysis of
stock markets integration:
comparison study of
Singapore and Malaysia
95 Yi and Tan
(2009), China
Title of study
11
10
(continued)
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
106
S.
no.
Author(s), year
and country of
study
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4,1
11
12
5and
World
markets
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
Note: aRounded off to next year figure if months are more than six and to previous year if months are less than six
International
Research
Journal of
Finance and
Economics
MIBES
Transactions
Research in
International
Business and
Finance
Journal
Time varying
Managerial
characteristics of cross
Finance
market linkages with
empirical application to Gulf
stock markets
Title of study
S.
no.
Author(s), year
and country of
study
Stock market
integration
107
Table I.
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108
Figure 1.
Basis of classification of
available literature
.
.
The following section of the present paper explains the classification of whole stock
market integration literature on the basis of the variables mentioned in this section of
the paper.
V. Literature on stock market integration
This section of the paper presents the results of the literature review. Table I provides a
comprehensive bibliography of the studies on stock market integration, classified on
the basis of the above mentioned variables. Each of these variable and the results
obtained from the review are given as under.
1. Methodology/econometric tools adopted for data analysis
Table II and Figure 2 show the frequency of various econometric tools used for data
analysis in the research papers considered in the present study. From Table II and
Figure 2, it can be seen that the majority of research papers have used unit root test for
testing the stationarity of the stock market prices, followed by Johansens cointegration
test, correlation test, Granger causality test, error correction mechanism, IRF, vector
autoregression (VAR) and VDC test for examining the linkages among the markets.
The generalized autoregressive conditional heteroskedasticity (GARCH) model was
also frequently used to test the volatility spillover among the studies considered. The
other tests include autoregressive distributed lag (ARDL) approach, Bai-Perron test,
63
35
32
31
24
24
22
14
15
28
Note: Other tests include autocorrelation function, ARDL, Bai-Perron test, conditional regime
switching model, Durbin-Watson model, Gregory-Hansen cointegration test, stochastic permanent
breaks model, etc
Stock market
integration
109
Table II.
Frequency econometric
tool used for data
analysis in the studies of
stock market integration
Figure 2.
Frequency econometric
tool used for data analysis
QRFM
4,1
110
Table III.
Year wise classification
of studies on stock
market integration
Figure 3.
Year wise classification
of studies on stock market
integration
S. no.
Year
No. of studies
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
Total
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
01
03
02
03
02
02
02
03
02
03
03
06
03
06
05
10
09
10
14
11
05
105
a significant rise in the research work on stock market integration after 2005. About 60
percent of the research work was done in the last 25 percent of time period, i.e. in recent
six years of the present study, from 2005 to 2010.
3. Country wise distribution of studies
Table IV and Figure 4 summarize the country wise distribution of studies conducted on
stock market integration. Table IV and Figure 4 reveal that out of total 105 studies
considered in the present paper, 26 percent studies are from USA, 10 percent are from
India, 8 percent from UK and Australia each, 6 percent from Greece, 5 percent from
Malaysia, 4 percent each from France and Taiwan, 2 percent each from Canada,
Indonesia, Ireland, Japan, Singapore, Turkey and UAE and remaining 15 percent are
from include the countries like Bangladesh, Brazil, China, Finland, Germany,
Hong Kong, Italy, Jordan, Korea, Kuwait, Lithuania, Morocco, The Netherlands,
Norway and Saudi Arabia.
Stock market
integration
111
Country
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
USA
India
UK
Australia
Greece
Malaysia
France
Taiwan
Canada
Indonesia
Ireland
Japan
Singapore
Turkey
UAE
Othersa
Total
No. of studies
28
11
09
09
06
05
04
04
02
02
02
02
02
02
02
16
105
Notes: aOthers include the countries like Bangladesh, Brazil, China, Finland, Germany, Hong Kong,
Italy, Jordan, Korea, Kuwait, Lithuania, Morocco, The Netherlands, Norway, and Saudi Arabia; one
research paper from each of these countries is taken for the present paper
Table IV.
Country wise distribution
of studies on stock
market integration
QRFM
4,1
112
Figure 4.
Country wise distribution
of studies on stock market
integration
Table V.
Number of years
considered as sample
data for studies on stock
market integration
Notes: Others include the countries like Bangladesh, Brazil, China, Finland, Germany,
Hong Kong, Italy, Jordan, Korea, Kuwait, Lithuania, Morocco, The Netherlands, Norway
and Saudi Arabia; one research paper from each of these countries is taken for the present
paper
0-5
6-10
11-15
16-20
21-25
26-30
31-35
36-40
41-45
46-50
51-55
56-60
Total
25
35
22
15
4
1
0
1
0
0
1
1
105
Stock market
integration
113
Figure 5.
Number of years
considered as sample data
for studies on stock
market integration
0-5
6-10
11-15
16-20
21-25
26-30
31-35
36-40
41-45
46-50
Total
41
48
14
01
0
0
0
0
0
1
105
number of countries fall between 0-5, 6-10, 11-15 and 16-20. There is only one study out of
105, which has covered 46 countries for examining the linkages among these countries.
The majority of studies have considered the number of countries lies in the interval of
6-10, followed by the interval of 0-5 countries and 11-15 countries.
6. Source from where the papers are collected
The sources from where the research papers are collected are summarized in Table VII
and Figure 7. Going through Table VII and Figure 7, it can be inferred that most of the
papers, i.e. 85 percent of the papers are collected from refereed academic research
journals, 14 percent were collected from other sources like various web sites and
electronic databases of different publishing houses and only one paper is a conference
paper considered for the present study.
VI. Conclusion and future research implications
The present study identified 105 research papers, published and unpublished, from
various journals, web sites and online databases between 1990 and 2010. After reviewing
these papers, it was discovered that there is noticeable growth in the research work
Table VI.
Number of countries
considered as sample for
studies on stock market
integration
QRFM
4,1
114
Figure 6.
Number of countries
considered as sample for
studies on stock market
integration
associated with stock market integration and its related issues. However, there has not
been much research have done regarding the applications of research work on stock
market integration. So far, the research activities were concentrated relatively more on
identifying the degree of linkages among the markets but not its implication. Thus, there
is a need for more research in the same area which would try to find out the reasons of
integration among various stock markets and the factors that may affect the degree of
integration among stock markets at international level.
From this literature survey, it can be seen that the contribution of research work in
the same area during the entire duration has been continuously increasing during the
recent time period, especially from 2005 to 2010. The coverage of stock market
integration across emerging economies has shot up in recent years because the focus of
researchers has also shifted from the stock markets of developed economies toward the
stock markets of emerging economies. The majority of research work of stock market
integration concentrated in countries like USA, UK and Australia but there are many
countries which have not caught the attention of researchers for studying the stock
market integration. Therefore, countries which were uncovered in past literature
should also be included for future research. At the same time, the sample data and
sample countries, considered for the future studies, should be altered to notice any
variation in the results. The data can be examined for integration using some newer
econometric techniques like Geweke measure, Gregory-Hansen cointegration test,
ARDL approach, etc. with the usual tools of correlation test, cointegration test, error
correction mechanism, causality tests, etc. for better understanding of stock markets
behaviour.
Particulars
(A) Journals
Applied Economics Letters
Applied Econometrics and International Development
Applied Financial Economics
Applied Financial Economics Letters
Baltic Journal of Economics
Economics and Management
Emerging Markets Finance and Trade
Emerging Market Review
Gadjah Mada International Journal of Business
Global Economic Review
Global Finance Journal
International Advances in Economic Research
International Journal of Emerging Markets
International Journal of Finance and Economics
International Research Journal of Finance and Economics
International Review of Business Research Papers
International Review of Economic and Finance
International Review of Financial Analysis
Journal of Asian Economics
Journal of Banking & Finance
Journal of Business
Journal of Business and Finance
Journal of Economic Cooperation
Journal of Economic Studies
Journal of Economics and Business
Journal of Emerging Market Finance
Journal of Financial Reporting and Accounting
Journal of International Financial Markets, Institutions and Money
Journal of International Money and Finance
Journal of Money, Investment and Banking
Journal of Multinational Financial Management
MIBES Transactions
Management Dynamics
Management Research News
Managerial Finance
North American Journal of Economics and Finance
Pacific Basin Finance Journal
Pacific Economic Review
Physica A
Pranjana
Research in International Business and Finance
Review of Market Integration
Review of Pacific Basin Financial Markets and Policies
Review of Quantitative Finance and Accounting
Scandinavian Journal of Management
South Asia Economic Journal
Studies in Economics and Finance
The European Journal of Finance
The International Journal of Business and Finance Research
Number of papers
03
01
03
02
01
01
01
01
01
01
02
01
01
01
03
01
02
04
01
02
01
01
02
01
01
02
01
03
03
01
05
01
01
01
05
01
01
01
01
01
03
01
01
01
01
01
03
02
01
(continued)
Stock market
integration
115
Table VII.
Distribution of reviewed
papers from various
sources
QRFM
4,1
Particulars
116
Table VII.
Number of papers
03
01
01
01
01
01
89
01
15
105
Note: aOthers include research papers, unpublished thesis and survey on stock market integration
accessed from the internet
Figure 7.
Source of data collection
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About the authors
Dr Anil K. Sharma is working as an Associate Professor in the Department of Management
Studies, Indian Institute of Technology Roorkee, India. He has published several research papers
in national and international journals of repute and is actively engaged in supervision of Ph.D
scholars and MBA research projects. He is on the reviewers panel for various national and
international journals.
Neha Seth is currently a Research Scholar in the Department of Management Studies, Indian
Institute of Technology, Roorkee, India. Her academic and research interest lies in the area of
stock markets. She has published number of papers in various journals and presented several
papers in various national and international conferences. Neha Seth is the corresponding author
and can be contacted at: neha_seth01@yahoo.com
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