Which market is the driver of the Asian stock markets ?

Sumaiyah Taher and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: The study aims to investigate whether the Asian stock markets are integrated or not and if they are integrated which market is the driver of the Asian stock markets. The findings of this paper are valuable for investors, traders and policy makers as this will enable them to make decisions related to their portfolio diversification, risk management and asset allocation . The paper applies a range of standard multivariate time series techniques and finds a strong financial integration between the indices under study. The interesting finding is that Thailand is the most leading country in Southeast Asia followed by Japan, China, Singapore, United States and finally Malaysia. Hence investors could gain potential long-run benefits from diversifying their investment portfolios internationally to reduce the associated systematic risks across countries. In addition, it enables policy makers attain a more stable financial system.

Keywords: Leading Asian stock market; VECM; VDC; Malaysia (search for similar items in EconPapers)
JEL-codes: C20 C22 C58 E44 G15 (search for similar items in EconPapers)
Date: 2018-03-18
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