Volatility co-movement of Asean-5 equity markets

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.
Official URL: http://eds.b.ebscohost.com/ehost/pdfviewer/pdfview...

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
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

Actions (For repository members only: login required)

View Item View Item