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Volatility Co Movement Of Asean 5 Equity Markets

Author

Listed:
  • Swee Ling OH
  • Evan LAU
  • Chin Hong PUAH
  • Shazali ABU MANSOR

Abstract

Economic cross linkages and the increased co movement of asset prices across international markets are important outcomes as the result of globalization Hereby the nature of international stock markets and the extent to which the 1997 1998 East Asian turmoil had affected the market relationship of five countries of Association of Southeast Asian Nations ASEAN 5 remain as probing questions Using an array of econometrics analysis upon the stock price volatility series we found partial market integration for the pre crisis whereas in the post crisis complete integration prevails Hence the financial meltdown in 1997 is said to be a contagion led crisis as markets integrate well off after the crisis than prior to it Nonetheless long run portfolio asset diversification benefits across the ASEAN 5 basin are reduced as markets are integrated in both the pre and post crisis As such the formation of the ASEAN Investment Area AIA 1998 parallel with the establishment of a developed ASEAN Index Financial Times Stock Exchange FTSE regional index is viable to foster deeper regional market convergence

Suggested Citation

  • Swee Ling OH & Evan LAU & Chin Hong PUAH & Shazali ABU MANSOR, 2010. "Volatility Co Movement Of Asean 5 Equity Markets," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 1(1), pages 23-30.
    • Handle: RePEc:srs:jasf00:v:1:y:2010:i:1:p:23-30
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    Cited by:

    1. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
    2. Rui Manuel Dias & Nuno Teixeira & Pedro Pardal & Teresa Godinho, 2023. "Volatility Transmission Between ASEAN-5 Stock Exchanges: An Approach in the Context of China's Stock Market Crash," International Journal of Corporate Finance and Accounting (IJCFA), IGI Global, vol. 10(1), pages 1-17, January.
    3. Md. Saifur Rahman & Farihana Shahari, 2019. "Does the Financial Integration in ASEAN+3 Respond to Financial Cooperation Agreement and Influence the Real Sectors?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-18, March.
    4. Rahman, Md. Saifur & Shahari, Farihana, 2017. "The nexus between financial integration and real economy: Solow-growth model concept," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1244-1253.
    5. Md. Saifur Rahman & Farihana Shahari, 2021. "Does the financial cooperation agreement increase the interdependency among ASEAN+3 equity markets? A Markov switching approach," International Economics and Economic Policy, Springer, vol. 18(4), pages 869-899, October.

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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