Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; Frensidy, Budi

doi:10.1080/23311975.2023.2167292

Cited by 8 publications

(5 citation statements)

References 35 publications

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“…Robiyanto et al [ 66 ] measured the effectiveness of ASEAN-5 initiative from the portfolio perspective. The results showed weak integration into the equity markets in ASEAN-5.…”

Section: Literature Review On the Application Of Granger Causalitymentioning

confidence: 99%

Bibliometric Analysis of Granger Causality Studies

Siew

Lam

Jaaman

et al. 2023

Entropy

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Granger causality provides a framework that uses predictability to identify causation between time series variables. This is important to policymakers for effective policy management and recommendations. Granger causality is recognized as the primary advance on the causation problem. The objective of this paper is to conduct a bibliometric analysis of Granger causality publications indexed in the Web of Science database. Harzing’s Publish or Perish and VOSviewer were used for performance analysis and science mapping. The first paper indexed was published in 1981 and there has been an upward trend in the annual publication of Granger causality studies which are shifting towards the areas of environmental science, energy, and economics. Most of the publications are articles and proceeding papers under the areas of business economics, environmental science ecology, and neurosciences/neurology. China has the highest number of publications while the United States has the highest number of citations. England has the highest citation impact. This paper also constructed country co-authorship, co-analysis of cited references, cited sources, and cited authors, keyword co-occurrence, and keyword overlay visualization maps.

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“…Robiyanto et al [ 66 ] measured the effectiveness of ASEAN-5 initiative from the portfolio perspective. The results showed weak integration into the equity markets in ASEAN-5.…”

Section: Literature Review On the Application Of Granger Causalitymentioning

confidence: 99%

Bibliometric Analysis of Granger Causality Studies

Siew

Lam

Jaaman

et al. 2023

Entropy

View full text Add to dashboard Cite

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“…By using this method, we can see the time varying correlation during period of observation in detail manner. Robiyanto (2018b);Robiyanto et al (2023) and Habiba et al (2020) using this method to scrutinize the integration of several prominent capital markets in the world.…”

Section: Conditional Correlation-generalized Autoregressive Condition...mentioning

confidence: 99%

“…Some studies concluded that the ASEAN capital markets were integrated with each other. In addition, there was a long-term equilibrium relationship between the ASEAN capital markets (Robiyanto, Nugroho, Handriani, & Frensidy, 2023;Yu, Fung, & Tam, 2010) as well as developed capital markets such as the U.S. capital market (Boubaker & Jouini, 2014;Robiyanto, 2018b). Also, hypothetically, integration of those capital markets will be stronger in the era of Covid-19 pandemic, because Covid-19 pandemic affect financial sectors globally (Buğan, 2021;Sugiyanto & Robiyanto, 2021).…”

Section: Introductionmentioning

confidence: 99%

Determinants of United States - Indonesia Equity Market’s Dynamic Correlation: The Role of Commodities and Exchange Rate’s Volatilities

Robiyanto,

Pangesti,

Harijono

et al. 2023

mem

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<p>This study aims to analyze the effect of oil price volatility, gold price volatility and exchange rate volatility on the dynamic relationship between Indonesian and United States capital market. The data used in this study are daily closing prices of oil, gold and exchange rates (USD/IDR) as well as Indonesian capital market (JKSE) and United States capital market (DJIA) composite indices during period of January 2005 to October 2020. This study uses DCC-GARCH method to calculate the dynamic correlation between two capital markets and GARCH with the GED parameter to analyze oil volatility, gold volatility and exchange rate volatility on the integration of Indonesian capital market and United States capital market. The results of this study show positive and strong results on the integration of Indonesian and United States capital markets, thus proving that the movements of Indonesian market and American market tend to be strong and mutually influence the two capital markets. Moreover, the oil, gold and exchange rates volatilities have a negative effect on the integration of the Indonesia capital market and the US capital market. This finding implies investors should take oil, gold and exchange rates volatilities in their investment consideration.</p>

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“…However, previous empirical examinations of the major global stock indices' interconnections have not produced consistent results (Ho et al, 2024;Lukanima et al, 2024;Nyakurukwa & Seetharam, 2023). The sample period used, the markets selected, the frequency of observations (daily, weekly, or monthly), and the various approaches used to examine the interdependence of equity markets all affect the results (Bhardwaj et al, 2023;Robiyanto et al, 2023;Ali et al, 2011). For example, many researchers have selected specific continents or group countries for identifying and confirming the presence of cointegration in them during different time frames.…”

Section: Introductionmentioning

confidence: 96%

Impulsive Response Analysis of Financial Markets in QUAD Economies: A VAR Modelling Approach

Syed,

Nagina,

Bhalla

2024

Intl. J. Rel.

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Financial market integration remains a key focus in academic finance, especially given how crucial it is to portfolio diversification. The purpose of this research is to investigate a crucial yet underexplored aspect like the cointegration of economies with formal or unofficial military ties, focusing on countries within the Quad strategic forum—India, Japan, Australia, and the United States. The daily closing values of benchmark stock market indices of Quad economies viz. Nikkie 225 for Japan, S&P ASX 200 for Australia, NASDAQ composite for the United States, and S&P Sensex for India were considered. Unit root tests, Johansen Cointegration tests, VAR (Vector Autoregressive) model, and the Granger Causality statistics are computed for data analysis. Additionally, the Impulse response function and variance decomposition are computed for better financial market predictions. The result reveals intriguing dynamics: while the Indian stock market initially responds positively to shocks in the Australian market, this effect diminishes over time. Also, movements in the Australian and United States stock markets significantly contribute to predicting fluctuations in the Indian market, contrasting with the limited predictive power of the Japanese stock market. These findings carry significant practical implications for international investors, offering valuable guidance for optimizing portfolio diversification strategies amidst geopolitical and economic complexities. This paper contributes to academic literature by offering empirical insights into the short-term dynamics and causal relationships of Quad countries’ stock markets, setting a foundation for future studies on long-term trends and market responses to external factors.

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Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective

Cited by 8 publications

References 35 publications

Bibliometric Analysis of Granger Causality Studies

Bibliometric Analysis of Granger Causality Studies

Determinants of United States - Indonesia Equity Market’s Dynamic Correlation: The Role of Commodities and Exchange Rate’s Volatilities

Impulsive Response Analysis of Financial Markets in QUAD Economies: A VAR Modelling Approach

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