Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets
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More about this item
Keywords
Market Cointegration; International Portfolio Diversification; U.S.; ASEAN; ‘long-term’; ‘short-term’ and ‘dynamic’ perspectives; Johansen-Juselius Cointegration; Bivariate Engle-Granger method; GIRF; GFEVD and DCC;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- 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
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2012-10-27 (Financial Markets)
- NEP-SEA-2012-10-27 (South East Asia)
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