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Are the ASEAN stock markets integrated with the US market ? new evidence from wavelet coherence

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  • Musa, Mustafa
  • Masih, Mansur

Abstract

It is generally believed that the US subprime crisis affected the ASEAN stock markets heavily. The main purpose of this paper is to look at the effects and performance of the stock markets of the big three ASEAN member countries such as Singapore, Malaysia and Indonesia against the influence of a larger economy such as, the United States. The method considered appropriate for the analysis is wavelet coherence. The findings tend to indicate that the co-movements between all these stock markets change significantly over time and across frequencies. We find that there is a strong coherence between the US stock market and the Singaporean, Malaysian and Indonesian stock markets. Furthermore, we find that there is a strong coherence between Singaporean and Malaysian markets in the long term. The results are intuitive and plausible with strong policy implications.

Suggested Citation

  • Musa, Mustafa & Masih, Mansur, 2016. "Are the ASEAN stock markets integrated with the US market ? new evidence from wavelet coherence," MPRA Paper 101256, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101256
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    References listed on IDEAS

    as
    1. Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    market integration; ASEAN; USA; wavelet coherence;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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