Are the ASEAN Equity Markets Interdependent?

Roca, Eduardo; Selvanathan, Saroja; Shepherd, William

doi:10.1355/ae15-2a

Cited by 51 publications

(63 citation statements)

References 30 publications

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“…The variation in Singapore has greatly explanative by itself for the three periods while Thailand, Malaysia, Indonesia and the Philippines was explained by other stock markets. These results are supported by Roca et al (1998) that Singapore market is the dominant in influencing the other four stock markets.…”

Section: Resultssupporting

confidence: 63%

Financial Liberalization and Stock Markets Integration for Asean-5 Countries

Phuan¹,

Lim²,

Ooi³

2009

IBR

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This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1) stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based on the progress of financial liberalization. By using Johansen and Juselius multivariate cointegration procedures, Granger-causality tests and variances decomposition analysis, the results indicate no long-run relationship during Singapore stock market liberalization in the first period. However, long-run relationship established between ASEAN-5 stock markets in the second period when Thailand, Malaysia and Indonesia have liberalized their stock markets and the third period following the Philippines liberalization. The long run integration relationships and the short-run causality relationships among ASEAN-5 markets have both increased after the financial liberalization. Thailand, Malaysia, Indonesia and the Philippines markets have received increased influences from other stock markets in the progress of financial liberalization whereas Singapore remains unaffected by the others. Stock markets that liberalize earlier will have greater influence on other stock markets.

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Section: Resultssupporting

confidence: 63%

Financial Liberalization and Stock Markets Integration for Asean-5 Countries

Phuan¹,

Lim²,

Ooi³

2009

IBR

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“…Palac-McMiken (1997) conclude that 4 ASEAN markets are linked together with the exception of Indonesia. Furthermore Roca, Selvanathan, and Shepherd (1998) find that these ASEAN markets are related in the short-term, but not significantly linked in the long-run. Sharma and Wongbangpo (2002) analyze the degree of long-term and short-term comovements in stock markets of five ASEAN countries and find that there is a long-run relationship among the stock markets of all countries but Philippines.…”

mentioning

confidence: 71%

Long and Short-term Volatility Comovements in the East Asian Stock

Yang

Lee

Yeo

2017

AEF

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This study analyzed volatility comovement and contagion in the stock markets of four countries (China, Japan, Korea, and Taiwan) in East Asia, which are closely connected with each other geographically and economically in terms of short-term and long-term perspectives. The volatility of stock returns has complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers. This study reviewed the volatility comovement and contagion in a stock market from long-term and short-term perspectives with the Bivariate Markov Switching Multifractal (BMSM) volatility model that is known for explaining such characteristics well, in spite of using small number of parameters. The empirical analysis results are as follows: China has no significant correlation with the other three countries. Therefore, China stock market is regarded as isolated or segmented market. The influence of the financial crisis on East Asian countries varies depending on the country. Regardless of the starting point of the crisis, Korea and Taiwan are shown to be vulnerable to external impact, compared to China and Japan. From the perspective of the nature of crisis, financial crisis that occurred in 1997 in East Asia and South Europe in 2011 were identified as local shocks as they had an impact on only a few countries, while the global crisis in 2008 was identified as global shock because it caused significant short-term and/or mid and long-term volatility of all countries.

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“…This study is done by looking at the long run and short run relationship between Malaysian Shariah Index and the macroeconomic variables. Based on Roca et al (1998), if cointegration is found during cointegration test, Vector Error-Correction Model (VECM) of Granger causality will be used. On the other hand, if no cointegration is found, the analyses will then be based on the regression of the first difference (1) of the variables using a standard VAR model.…”

Section: Methodsmentioning

confidence: 99%