Lau, Evan and Oh, Swee-Ling and Puah, Chin-Hong and Shazali Abu, Mansor (2010) Volatility co-movement of Asean-5 equity markets. Journal of Advanced Studies in Finance (JASF), 1 (1). pp. 23-30. ISSN 2068-8393
Full text not available from this repository.Abstract
Economic cross-linkages and the increased co-movement of asset prices across international markets are important outcomes as the result of globalization. Hereby, the nature of international stock markets and the extent to which the 1997-1998 East Asian turmoil had affected the market relationship of five countries of Association of Southeast Asian Nations (ASEAN-5) remain as probing questions. Using an array of econometrics analysis upon the stock price volatility series, we found partial market integration for the pre-crisis; whereas in the post-crisis, complete integration prevails. Hence, the financial meltdown in 1997 is said to be a contagion led crisis as markets integrate well off after the crisis than prior to it. Nonetheless, long run portfolio asset diversification benefits across the ASEAN-5 basin are reduced as markets are integrated in both the pre- and post-crisis. As such, the formation of the ASEAN Investment Area (AIA- 1998) parallel with the establishment of a developed ASEAN Index-Financial Times Stock Exchange (FTSE) regional index is viable to foster deeper regional market convergence.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | ASEAN-5, portfolio diversification, volatility co-movement, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak. |
| Subjects: | H Social Sciences > HC Economic History and Conditions J Political Science > JZ International relations |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Karen Kornalius |
| Date Deposited: | 23 Apr 2015 00:47 |
| Last Modified: | 14 Apr 2016 07:03 |
| URI: | http://ir.unimas.my/id/eprint/7219 |
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