Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries

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dc.contributor.authorLucey, Brian
dc.contributor.authorMohapatra, Sabyasachi
dc.contributor.authorKumar, Satish
dc.contributor.authorETAL..
dc.date.accessioned2024-05-28T08:44:38Z
dc.date.available2024-05-28T08:44:38Z
dc.date.issued2023-09
dc.descriptionFinancial integration can be defined as an environment where market participants are governed by a uniform set of rules, with an equal degree of access to financial instruments, and are treated equally in the financial markets (Lagoarde-Segot and Lucey, 2006). However, the degree and strength of integration depend upon both economic and financial liberalization. Geographical proximity, free flow of capital and labour, and absence of trade barriers stimulate financial integration (Forbes and Rigobon, 2002, Kearney and Lucey, 2004).
dc.description.abstractThe study attempts to examine the stock market integration for Asia-Pacific countries using networks and forms Risk Adjusted Differential Return (RADR) and Benchmark Indices Network (BIN) indices. The RADR index is higher during the Global Financial Crisis (GFC), indicating a higher level of integration. The inter-country network structure is designed where network parameters are capable of explaining stock market integration. Network parameters are higher during the GFC and are used to form a network index - BIN. This study concludes BIN to be a better measure than RADR, as network parameters are independent of differential index return. keywords: Asia-Pacific region; Differential return; Network structure; Stock-market integration
dc.identifier.citationRahman, M. R., Misra, A. K., Lucey, B. M., Mohapatra, S., & Kumar, S. (2023). Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries. Journal of International Financial Markets, Institutions and Money, 87, 101819.
dc.identifier.doihttps://doi.org/10.1016/j.intfin.2023.101819
dc.identifier.urihttps://dspace.adu.ac.ae/handle/1/5464
dc.language.isoen
dc.publisherScience Direct
dc.titleNetwork structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries
dc.typeArticle

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