Time-Varying Linkages of Economic Activities in China and the Stock Markets in ASEAN-5

Teng, Kee Tuan; Yen, Siew Hwa; Chua, Soo Y.

doi:10.5709/ce.1897-9254.205

Cited by 4 publications

(4 citation statements)

References 54 publications

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“…[12]When KT Teng et al studied the linkage between the stock markets of China and ASEAN, they found that the linkage between the two countries was on the rise in the short term, especially Thailand and Indonesia, which had stronger linkage with China, but the linkage between the stock markets of China and ASEAN was not strong in the long term. [13] Mao Wei and Hao Mengyu analysed the linkage of stock markets between China and ASEAN, and found that there was no cointegration relationship between the Shanghai Composite Index with the stock indexes of Malaysia, Singapore, the Philippines, Indonesia and Thailand. However, the Shanghai Composite Index and the Singapore share index are causality, and there is a one-way causality with the Thai and Malaysian share index, furthermore, there is no Granger causality with the Philippine and Indonesian share indexes.…”

Section: The Co-movement Between China and Asean Stock Marketsmentioning

confidence: 99%

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2023

IJDKP

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By constructing the volatility network of stock market indexes in China and ASEAN, the mechanism of transnational market risk transmission and the characteristics of key nodes are analysed. Finding the volatility network is a good description of the linkage and tightness of the various share index volatility. The COVID-2019 led to a significant increase in convergence of behaviour patterns of major country share indexes, and significant differences in node changes and topological features of the volatility network. A few share indexes in Singapore and Thailand are key nodes and the source of market risk in the transnational stock market. Dynamic analysis shows that the evolution of share index volatility network reflects that the overall risk of volatility network changes with time, the information link structure of the market changes with time, and major emergencies break the original structure and trigger the information connection in the market. The findings of this paper have important implications for understanding the characteristics of transnational risk transmission between the stock markets of China and ASEAN.

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Section: The Co-movement Between China and Asean Stock Marketsmentioning

confidence: 99%

Untitled

2023

IJDKP

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“…According to his result, the supply-leading hypothesis is valid for all countries except Canada. Teng et al (2016) noted that the volatility on ASEAN-5 stock markets signifi cantly aff ected China's economy using the DCC-MGARCH model. Caporale and Spagnolo (2003) examined that the stock market volatility positively aff ected the output growth volatility in three industrialized countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Revisiting Linkages between Stock Prices and Real Activity in OECD Countries: Does Finance Respond to Changing Situation of Economy?

Hatipoğlu¹

2020

Prague Economic Papers

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The purpose of this study is to investigate whether financial markets contribute to the economy when needed. The quantile regression model and causality in variance tests are applied to monthly data from December 1989 to July 2016 for 19 OECD economies. The results confirm that the response of capital markets to economic growth depends more on the state of the economy than the state of the country's development. Generally, interaction between financial markets and the economy is weak in OECD countries except Japan and Estonia.

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“…Palamalai and Devakumar (2013) find long-run relationships among the stock markets of emerging economies in the Asia-Pacific region. Wang (2014) reported that the linkages among the stock markets in East Asia had been strengthened in the aftermath of the global financial crisis of 2008-2009. Teng et al (2016 reported that the economic activities of China influence the ASEAN economies' stock markets.…”

Section: Introductionmentioning

confidence: 99%

“…Wang (2014) reported that the linkages among the stock markets in East Asia had been strengthened in the aftermath of the global financial crisis of 2008–2009. Teng et al (2016) reported that the economic activities of China influence the ASEAN economies’ stock markets. Ahmed and Singh (2016) found co-integrating relations among the stock markets of Regional Comprehensive Economic Partnership (RCEP) economies, which include ASEAN economies since all ASEAN countries are members of RCEP.…”

Section: Introductionmentioning

confidence: 99%

Integration and Interdependence Among Equity Markets in South Asia: Measuring Through ARDL Bounds Approach

Prakash

Nauriyal

2020

Millennial Asia

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This article examines the degree of integration among the financial markets in South Asia at regional and extra-regional levels by using monthly data collected for the period 2010–2018. It uses autoregressive distributed lag (ARDL) bounds test approach of cointegration, and short-run causalities are obtained under the error correction framework. The bounds testing procedure finds the existence of long-run relations among the four markets when the equity market of India is taken as the dependent variable. Although the bounds testing procedure finds some evidence of integration at the regional level, evidence suggests that integration at the global level is much higher than the integration at the regional level for this region. Another interesting finding is that Pakistan does not exhibit cointegrating relations with the rest of the equity markets in South Asia, and results are inconclusive when developed countries’ equity markets are introduced to the estimated models, which can be attributed to the political instability that Pakistan is consistently plagued with and also its strained relationship with India, thereby hampering capital inflows.

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Time-Varying Linkages of Economic Activities in China and the Stock Markets in ASEAN-5

Cited by 4 publications

References 54 publications

Untitled

Untitled

Revisiting Linkages between Stock Prices and Real Activity in OECD Countries: Does Finance Respond to Changing Situation of Economy?

Integration and Interdependence Among Equity Markets in South Asia: Measuring Through ARDL Bounds Approach

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