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

Ardliansyah, Rifqi

doi:10.2139/ssrn.2161330

Cited by 3 publications

(3 citation statements)

References 36 publications

(27 reference statements)

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“…A second set of relevant studies consider financial integration between the ASEAN-5 (or ASEAN-6 in the case of Quang and Konya, 2012) and stock markets in Japan and the United States (Ibrahim, 2006;Majid et al, 2008;Ardliansyah, 2012;Quang and Konya, 2012). Majid et al (2008) found that the ASEAN markets were cointegrated with Japan and the United States, while Ardliansyah (2012) found that the ASEAN markets were cointegrated with the United States.…”

Section: Existing Literature On Stock Market Linkagesmentioning

confidence: 99%

Stock Market Co-movement in ASEAN and China

Smyth

2014

Emerging Markets and the Global Economy

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Section: Existing Literature On Stock Market Linkagesmentioning

confidence: 99%

Stock Market Co-movement in ASEAN and China

Smyth

2014

Emerging Markets and the Global Economy

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“…Given the methodological complexity, we follow Fama (1965) in defining stock market returns. Ardliansyah (2012) has found that the measure of skewness, β may have higher and lower (than -1) negative values empirically for different markets. Negative skewness illustrates that investors are exposed to few extreme losses but frequent small gains.…”

Section: Econometric Foundations To Non-normalitymentioning

confidence: 99%

Market Microstructure Noise, Intraday Stock Market Returns, and Adaptive Learning: Indian Evidence

Sinha

2019

Colombo Bus. J

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What drives intraday traders' sentiments in the stock markets: information or noise? This paper argues that the market microstructure noise (MMN) manifests intraday traders' aggregate sentiments depicted by chaotic and noisy market returns. It examines if intraday stock market returns, returns' variances and higher order moments are erratic, noisy and nonnormal. It shows that the intraday Bombay Stock Exchange (BSE) Sensex and National Stock Exchange (NSE) Nifty index returns approximate to zero-mean, zero-variance but skewed and leptokurtic in distributions. In exploring the intraday market index returns, standardisation process reveals noises in the BSE market, but it is evened up in the NSE market. Since intraday traders' market sentiments and decision choices are behavioural, noisy but adaptive, their decision choices need strategies given that those strategies have numerical "attractions" that determine choice probabilities. We explore the adaptive Experience Weighted Attraction (EWA) learning parameters to show persistent MMN in intraday traders' adaptive learning behaviours.

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“…The rising graph of cross border capital movements, foreign investments, international mergers and acquisition witness the same. Many researchers (Dhal, 2009;Mandal & Bhattacharjee, 2012;Ardliansyah, 2012;Bhunia & Ganguly, 2015;Verma & Rani, 2016) observed short run and long run interlinkages of Indian stock market with international stock markets.…”

Section: Introductionmentioning

confidence: 99%

Impact of Covid-19 on Long Run and Short Run Financial Integration Among Emerging Asian Stock Markets

Bhardwaj

Sharma

Mavi

2022

Business, Management and Economics Engineering

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Purpose –The study aims at exposing any possible impact of COVID-19 on short-run and long-run financial integration among five emerging Asian economies viz., China, South Korea, India, Indonesia and Taiwan. Research methodology – Daily closing indices of selected countries have been analyzed from January 2010 – September 2021. The integration among the selected economies has been examined for long-run and short-run through Johansan co-integration and Granger causality tests respectively. Findings – The analysis revealed that coronavirus weakened integration among nations. The absence of long-run integration was observed after the onset of COVID-19. During pre-covid period, unidirectional as well as bi-directional causal relations were present, but after the outbreak of COVID-19, only South Korea and China reported short-term linkage. Research limitations – The results are subject to the limitation of limited data and reference period. Further, daily returns of different stock markets are subject to domestic shock which has not been analyzed in the present study. Practical implications – Since the absence of integration indicates an ample opportunity for risk minimization through international diversification of the portfolio, the results are expected to be very useful for investors, researchers and regulators. Originality/Value – In present times, researchers are showing keen interest to know the possible impact of COVID-19 on linkages of international financial markets. However in spite of being rapidly growing economies, countries selected in the present study have not been explored much. The present study aims to bridge this research gap.

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

Cited by 3 publications

References 36 publications

Stock Market Co-movement in ASEAN and China

Stock Market Co-movement in ASEAN and China

Market Microstructure Noise, Intraday Stock Market Returns, and Adaptive Learning: Indian Evidence

Impact of Covid-19 on Long Run and Short Run Financial Integration Among Emerging Asian Stock Markets

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