Mohsin, H and Rivers, P (2010): Financial Market Integration of South Asian Countries: Panel data Analysis. Published in: International Journal of Economics and Finance , Vol. 3, No. 2 (May 2011)
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According to Frankel (1992) in order to find financial integration from Feldstein Horoika (FH, 1980) model, the real interest parity must hold. This paper estimates the degree of financial market integration of South Asian countries i.e. Pakistan, India, Bangladesh, Sri Lanka and Nepal with both the techniques. The study finds some degree of integration with FH model has which increased after 1990s, post liberalization period. Furthermore, Panel Unit Root techniques i.e. LLC, IPS and Hadri has been used to estimate the real interest rate differentials (RIDs) of South Asian countries are found to be stationary with USA, Canada, UK, Germany, Sweden, Netherland, Australia, Malaysia, Indonesia, South Korea, Singapore, China and Japan. The empirical evidence of integration with both the techniques in my study is unique in the literature. Even though, the RIDS technique provides strong evidence of integration, correlation between savings and investment is still significant.
|Item Type:||MPRA Paper|
|Original Title:||Financial Market Integration of South Asian Countries: Panel data Analysis|
|English Title:||Financial Market Integration of South Asian Countries: Panel data Analysis|
|Keywords:||Financial Integration, interest rate parity, savings investment correlation, South Asian economy|
|Subjects:||E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Hasan Muhammad Mohsin|
|Date Deposited:||13. Oct 2010 09:06|
|Last Modified:||15. Feb 2013 21:39|
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