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Asymmetric Impact of Financial Integration to International Nonsynchronous Trading Effects in Developed and Emerging Equity Markets

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This paper investigates the impact of the international equity market integration to the international nonsynchronous trading effects (INTE). The paper finds that the financial market integration would increase INTE, in general, and the impact monotonically decreases over the lag length. However empirical evidence suggests that the increase is asymmetric among developed and emerging markets. Further theoretical investigation reveals that the level of volatility and autocorrelation are positively related to the increase in INTE. The paper concludes that the relatively higher level of volatility and autocorrelation in emerging markets could mitigate the increase in INTE from financial market integration.
Cite this paper
Hong, K. (2014) Asymmetric Impact of Financial Integration to International Nonsynchronous Trading Effects in Developed and Emerging Equity Markets. Theoretical Economics Letters, 4, 517-525. doi: 10.4236/tel.2014.47065. 
 

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http://dx.doi.org/10.1086/260910                          eww141015lx
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