چکیده:
The capital market in each country is considered as the most important part of the
economy and its fluctuations may reflect the economic situation of the country. In this
paper, the hypothesis of convergence of stock market price indices in Asian countries
during the period from January 2007 to February 2017 is investigated using cluster
analysis method. The results show that there is no evidence of overall convergence among
countries. However, there are three converging clusters between stock markets while the
Jordanian stock market forms a non-convergent cluster. These findings should assist
portfolio managers in the design and implementation of appropriate portfolio
management strategies. Regulatory authorities can also benefit from the design of
financial regulation.
خلاصه ماشینی:
An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets {مراجعه شود به فایل جدول الحاقی} The capital market in each country is considered as the most important part of the economy and its fluctuations may reflect the economic situation of the country.
In this paper, the hypothesis of convergence of stock market price indices in Asian countries during the period from January 2007 to February 2017 is investigated using cluster analysis method.
In this research, Philips and Sul (2007) method is used for the convergence test of the price indices of stock markets.
Hence, using the Philips and Sul (2007) method, convergence of the price index in the stock markets of the selected countries is investigated.
Since convergence is a long-term concept, based on Philips and Sul (2007) recommendation, Hodrick-Prescott filter is used to derive the trend component from the set, then the general data trend is used to allow the convergence between the price indices of different stock markets.
The results of the club clustering algorithm for the index of Asian stock markets indicate that there are three converging clubs during the period under study.
The results of the estimates for the convergence test between the clusters identified in the stock markets of Asian countries are shown in Table (3).
6 Conclusion In this study, convergence of 22 selected stock markets in Asia during the period of January 2007 to February 2017 is investigated, and a new mechanism for economic modeling and analysis, that is cluster analysis presented by Philips and Sul (2007), is used.