Volatility Co-Movement of Asean-5 Equity Markets
Swee-Ling Oh (),
Evan Lau (),
Chin-Hong Puah and
Shazali Abu Mansor ()
Additional contact information
Swee-Ling Oh: TA Securities Berhad, Kuala Lumpur
Shazali Abu Mansor: University Malaysia Sarawak
Journal of Advanced Studies in Finance, 2010, vol. I, issue 1, 23-30
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.
Keywords: ASEAN-5; portfolio diversification; volatility co-movement (search for similar items in EconPapers)
JEL-codes: G15 C22 C32 F02 (search for similar items in EconPapers)
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Working Paper: Volatility Co-movement of ASEAN-5 Equity Markets (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:srs:jasf12:3:v:1:y:2010:i:1:p:23-30
Access Statistics for this article
More articles in Journal of Advanced Studies in Finance from ASERS Publishing
Series data maintained by Laura Stefanescu ().