VOLATILITY CO MOVEMENT OF ASEAN 5 EQUITY MARKETS

Swee Ling Oh (), Evan Lau, Chin-Hong Puah and Shazali ABU Mansor ()

Journal of Advanced Studies in Finance, 2010, vol. 1, issue 1, 23-30

Abstract: 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

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:srs:jasf00:v:1:y:2010:i:1:p:23-30

Access Statistics for this article

Journal of Advanced Studies in Finance is currently edited by Laura GAVRILĂ (formerly Ştefănescu)

More articles in Journal of Advanced Studies in Finance from ASERS Publishing
Bibliographic data for series maintained by Claudiu Popirlan ( this e-mail address is bad, please contact ).