Prof. Amalendu Bhunia
Department of Commerce, University of Kalyani, India
Title: Financial Integration of Asian Developed and Emerging Capital Markets during Pre- and Post-COVID-19 Crisis
Abstract:
This study examines the financial integration of two Asian developed capital markets (Japan and Singapore) and two Asian emerging capital markets (China and India), by comparing the periods before and after the COVID-19 crisis. Using daily time-series data, the research uses exact econometric models, including unit root tests, Johansen cointegration analysis, Vector Autoregression (VAR), impulse response function test, and variance decomposition analysis to analyze the spillover effects and interdependencies among these markets. The study finds that before the COVID-19 pandemic, the markets showed moderate integration, with developed markets like Japan and Singapore having a more significant influence on the emerging markets of China and India. However, the onset of the COVID-19 crisis resulted in heightened financial integration across all markets, driven by global economic uncertainty and synchronized policy responses. China, in particular, emerged as a key player, amplifying its influence over the regional markets. Volatility spillovers were significantly stronger in the post-COVID-19 period, with shock transmission across markets becoming more pronounced. The findings put forward that while the pandemic disrupted short-term market stability, it reinforced long-term regional financial integration trends.
Keywords: Financial integration, Asian financial markets, COVID-19 crisis, spillover effects, variance decomposition
Biography:
Dr. Amalendu Bhunia is the former Vice-Chancellor and the former Dean, Faculty of Arts & Commerce, University of Kalyani, West Bengal, India. He is a Professor, Department of Commerce, University of Kalyani. He has experience in teaching the subject of finance, taxation, and statistics for more than 28 years. He has published 108 research articles in foreign and national journals, 13 research articles in edited volume, and 16 books in national and international repute. At present, his Google Scholar Citation is 2018 with an h-index of 25. He has completed 4 research projects. His research interests are in the financial markets, corporate finance, international finance, and behavioral finance. He has presented 60 research papers at various international and national conferences. He served as an Editor-in-Chief, American Journal of Theoretical and Applied Business (Science Published Group, USA) for two years. Also, he served an Editor-in-Chief, Indo-Asian Journal of Finance and Accounting and Indian Journal of Finance and Economics (Academic Research Foundations Journals, India). Dr. Bhunia acted as a keynote speaker in 52 national, 25 international, and 14 foreign conferences. He is specialized as a resource person in the subject of ‘Research Methodology’ and ‘Statistical Analysis on Quantitative Data’.