A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan

Ayesha Majeed and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: Over time the current world financial markets have become more closely correlated and interdependent due to increased market integration. One of the important outcomes of globalization has been economic cross-linkages and the increased co-movement of asset prices across international markets. This paper studies the long run relationship of five founding members of ASEAN-5, namely Malaysia, Singapore, Indonesia, Philippines & Thailand (referred to as ASEAN-5) and developed stock market indices of US and Japan. After the 1997 Asian Financial crisis, the stock markets in this region are expected to open up and become more interdependent. An Autoregressive Distributed Lag Model (ARDL) has been used to empirically test if a long run relationship exists among these indices. Our study finds that the ASEAN-5 stock markets are co-integrated along with developed stock markets of US and Japan which is in line with many studies.

Keywords: ASEAN-5; ARDL; Co-integration; Granger-causality (search for similar items in EconPapers)
JEL-codes: C58 E44 G15 (search for similar items in EconPapers)
Date: 2016-12-20
New Economics Papers: this item is included in nep-mac and nep-sea
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