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Dynamic interdependence of ASEAN5 with G5 stock markets

Kim Liow and Jeongseop Song

Emerging Markets Review, 2020, vol. 45, issue C

Abstract: We find ASEAN5 and G5 stock markets are weakly linked in normal conditions. ASEAN5 markets became more connected with G5 markets during global financial crisis, with stronger conditional correlations, a higher level of risk spillover-connectedness and intensive causal risk dependence. By implications, ASEAN5 stocks are both return enhancers and risk diversifiers in boom market conditions. The diversification benefits remain even during crisis times, albeit lesser. Over the longer term, the diversification benefits of a portfolio that includes both ASEAN5 and G5 stocks are recaptured as market linkages revert to some lower levels due to decreased crisis contagion.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:45:y:2020:i:c:s1566014120300042

DOI: 10.1016/j.ememar.2020.100740

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