Asymmetric Impact of Financial Integration to International Nonsynchronous Trading Effects in Developed and Emerging Equity Markets
Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=48469#.VD4YMVfHRK0 Author(s) KiHoon Jimmy Hong Affiliation(s) University Technology of Sydne, Sydney, Australia . ABSTRACT 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 conclude...