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Trading Activity and Financial Market Integration
Author(s) -
Lee ChiaHao,
Chou PeiI
Publication year - 2012
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2012.00341.x
Subject(s) - emerging markets , volatility (finance) , market integration , market microstructure , financial market , business , financial integration , sample (material) , market depth , market system , monetary economics , economics , financial economics , finance , order (exchange) , stock market , market economy , macroeconomics , paleontology , chemistry , chromatography , horse , biology
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.