Market integration and extreme co-movements in APEC emerging equity markets

Abstract

Extreme market co-movements in the context of time-varying market integration are investigated for APEC emerging equity markets using the concept of extreme correlation. We show that both foreign and domestic portfolio investments have contributed to extreme market movements; and extreme correlation is time-varying and dependent on local and regional market integrations. However, the relationship between market integration and extreme correlation varies across markets.

Acknowledgement

This article is based upon work supported by the APEC Finance and Development Program under Grant No. AFDP-R-2003-02. Any opinions, findings and conclusions or recommendations expressed in this article are those of the authors and do not necessarily reflect the views of the APEC Finance and Development Program.