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Integration of Asean-5 Stock Markets: A Revisit

Author

Listed:
  • Bakri Abdul Karim

    (Faculty of Economics and Business, Universiti Malaysia Sarawak (UNIMAS), Kota Samarahan, Sarawak)

  • Zulkefly Abdul Karim

    (School of Economics, Faculty of Economics and Management, Universiti Kebangsaan Malaysia (UKM), Bandar Baru Bangi, Selangor)

Abstract

This study re-examines the integration among five selected ASEAN emerging stock markets Malaysia, Thailand, Indonesia, the Philippines and Singapore) based on Autoregressive Distributed Lag (ARDL) bound testing approach proposed by Pesaran, Shin and Smith 2001). This study finds that the stock markets in the ASEAN region are integrated during the pre-, post-1997 and post U.S. subprime financial crisis. In line with many studies on international interdependences of stock markets, our study finds that the ASEAN stock markets are moving towards more integration among themselves, especially following the global financial crisis. This implies that the long-run diversification benefits that can be earned by investors across the ASEAN markets tend to diminish. In addition, there is a need for policy coordination among ASEAN region to mitigate the impact of financial fluctuations, as the stock markets are interdependent.

Suggested Citation

  • Bakri Abdul Karim & Zulkefly Abdul Karim, 2012. "Integration of Asean-5 Stock Markets: A Revisit," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(2), pages 21-41.
    • Handle: RePEc:usm:journl:aamjaf00802_21-41
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    Citations

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    Cited by:

    1. Mazhar Mahmood & Kashif ur Rehman, 2017. "Did Financial Integration Provide Financial Depth to ASEAN Countries?," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(1), pages 89-102, March.
    2. Ritesh Patel, 2021. "ASEAN-5 and Indian Financial Market Linkages: Evidence from Cointegration and Factor Analysis," Capital Markets Review, Malaysian Finance Association, vol. 29(1), pages 41-58.
    3. Pasrun Adam & Ambo Wonua Nusantara & Abd AzisMuthalib, 2017. "Foreign Interest Ratesand the IslamicStock Market Integration between Indonesia and Malaysia," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(3), pages 639-659, Summer.
    4. Rahim, Adam Mohamed & Masih, Mansur, 2014. "Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches," MPRA Paper 58903, University Library of Munich, Germany.
    5. Awadh Saeed Bin-Dohry & Hanita Kadir Shahar & Sharmilawati Sabki & David McMillan, 2021. "The determinants of dual listing decision of firms from ASEAN-5," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1917105-191, January.
    6. Rahim, Adam Mohamed & Masih, Mansur, 2018. "Comovement of stock markets of Singapore and its major Asian trading partners," MPRA Paper 110319, University Library of Munich, Germany.
    7. Nurrachmi, Rininta, 2018. "Movements of Islamic Stock Indices in Selected OIC Countries," MPRA Paper 96539, University Library of Munich, Germany.
    8. Balli, Faruk & Balli, Hatice Ozer & Luu, Mong Ngoc, 2014. "Diversification across ASEAN-wide sectoral and national equity returns," Economic Modelling, Elsevier, vol. 41(C), pages 398-407.
    9. P. K. Mishra & S. K. Mishra, 2022. "Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 137-162, May.
    10. Aman Srivastava & Shikha Bhatia & Prashant Gupta, 2015. "Financial Crisis and Stock Market Integration: An Analysis of Select Economies," Global Business Review, International Management Institute, vol. 16(6), pages 1127-1142, December.
    11. T.G. Saji, 2022. "Stock market linkages in Asia. Revisiting Granger causality evidences," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 151-168, Autumn.
    12. Rahim, Adam Mohamed & Masih, Mansur, 2016. "Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches," Economic Modelling, Elsevier, vol. 54(C), pages 425-438.
    13. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.

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