We are grateful to the editor and two anonymous reviewers for valuable comments that greatly improved the paper. We retain full responsibility for remaining errors.
Trading Activity and Financial Market Integration
Article first published online: 6 JUL 2012
© 2012, The Eastern Finance Association
Volume 47, Issue 3, pages 589–616, August 2012
How to Cite
Lee, C.-H. and Chou, P.-I. (2012), Trading Activity and Financial Market Integration. Financial Review, 47: 589–616. doi: 10.1111/j.1540-6288.2012.00341.x
- Issue published online: 6 JUL 2012
- Article first published online: 6 JUL 2012
- trading activity;
- market integration;
- dynamic correlation;
- Asian markets
We investigate the effect of trading activity in the Asian emerging markets on the market integration across Asian emerging and major developed markets over the sample period of 1997 to 2009. The empirical evidence confirms that higher trading activity in Asian emerging markets can induce these markets and developed markets to become more integrated. Furthermore, we identify the mediation effect of market volatility on Asian emerging markets. This effect demonstrates that trading activity in Asian emerging markets not only directly enhances market integration, but also intensifies market volatility, indirectly increasing market integration.