Financial integration and the ASEAN-5 equity markets

Abstract

The existence of long-run relationships among the ASEAN-5 equity markets is empirically investigated. This study utilized weekly data spanning January 1988 to August 1999. The results of Granger noncausality test due to Toda and Yamamoto (Journal of Econometrics,66, 225–50, 1995) reveal that the Singapore equity market was not affected by other markets except by the Philippines in the long run. This result shows that there exist opportunities for beneficial international portfolio diversification within the context of the Asean-5 equity markets.

Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan

“…For example, Sharma and Wongbangpo (2002) find that, from 1986 to 1996, stock markets in Indonesia, Malaysia, Singapore, and Thailand are cointegrated but the Philippines is not in the cointegrated group. Another research by Azman-Saini et al (2002) find all 5 ASEAN markets are cointegrated during a period from 1988 to 1999. Aggarwal and Mougoue (1996) provide evidence on the cointegration of the exchange rates between Japanese yen and two groups of Asian currencies, the Asian Four Little Dragons and ASEANs.…”

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

“…In other words, if the degree of integration between the international markets is high, the potential returns from these markets will be minimal. Moreover, the studies on the ASEAN stock market integration done by Ibrahim (2000Ibrahim ( , 2005, Hee (2002) and Azman-Saini et al (2002) indicates that ASEAN markets become more integrated between themselves and U.S. market during the post recent Asian crisis period.…”

Robust global stock market interdependencies

“…While a significant body of papers has documented the nature of long-term relations in both Asian (Yang and Siregar 2001, Azman-Saini 2002, Manning (2002, Phylaktis and Ravazollo, 2005, Laopodis, 2005, Chang and Caudill, 2006and Choudhry, 2007 and European (Serletis and King 1997, Chan et al, 1997, Rangvid, 2001, Phengpis and Apilado, 2004, Voronkova, 2004, Yang et al, 2006, Syriopoulos, 2007and Aggarwal et al, 2009 African stock markets and use, in addition to a regime switching cointegration methodology, the nonparametric cointegration model of Breitung (2002) and the stochastic volatility cointegration model of Harris et al, (2002).…”