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Stock market linkage between China and ASEAN-6 countries: Integration perspective

This paper examines the integration process and time-varying characteristics of major stock markets in China and ASEAN6 countries (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam). Based on the DCC-GARCH model as related to the daily stock index return data of China and the ASE...

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Main Authors: Zhang Jinghua, Mori Kogid
Format: Article
Language:English
English
Published: Universiti Kebangsaan Malaysia 2024
Subjects:
HB131-147 Methodology
HC10-1085 Economic history and conditions
Online Access:https://eprints.ums.edu.my/id/eprint/42107/1/ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/42107/2/FULL%20TEXT.pdf
https://eprints.ums.edu.my/id/eprint/42107/
http://dx.doi.org/10.17576/JEM-2024-5801-10
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spelling my.ums.eprints.421072024-12-04T07:36:19Z https://eprints.ums.edu.my/id/eprint/42107/ Stock market linkage between China and ASEAN-6 countries: Integration perspective Zhang Jinghua Mori Kogid HB131-147 Methodology HC10-1085 Economic history and conditions This paper examines the integration process and time-varying characteristics of major stock markets in China and ASEAN6 countries (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam). Based on the DCC-GARCH model as related to the daily stock index return data of China and the ASEAN-6, from July 2000 to December 2022, our study showed that the dynamic correlation between the stock markets of China and the ASEAN-6 was significantly enhanced during the sample period. The level of stock market integration between China and Singapore, Malaysia, and Vietnam has increased significantly, and the correlation has become more stable. In addition, the integration process shows significant time-varying characteristics; the effect of major economic events, the development of domestic financial markets, and the opening process of capital markets have a significant impact on the integration process of regional stock markets. The study made recommendations to promote China-ASEAN financial cooperation and offers a reliable theoretical basis for investment portfolio decisions. This will assist policymakers in keeping up with economic trends and taking necessary policy measures and interventions in a timely and effective manner to control stock market risks, ensuring stable and healthy economic development. Universiti Kebangsaan Malaysia 2024 Article NonPeerReviewed text en https://eprints.ums.edu.my/id/eprint/42107/1/ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/42107/2/FULL%20TEXT.pdf Zhang Jinghua and Mori Kogid (2024) Stock market linkage between China and ASEAN-6 countries: Integration perspective. Jurnal Ekonomi Malaysia, 58 (1). pp. 1-12. ISSN 0127-1962 http://dx.doi.org/10.17576/JEM-2024-5801-10
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
English
topic HB131-147 Methodology
HC10-1085 Economic history and conditions
spellingShingle HB131-147 Methodology
HC10-1085 Economic history and conditions
Zhang Jinghua
Mori Kogid
Stock market linkage between China and ASEAN-6 countries: Integration perspective
description This paper examines the integration process and time-varying characteristics of major stock markets in China and ASEAN6 countries (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam). Based on the DCC-GARCH model as related to the daily stock index return data of China and the ASEAN-6, from July 2000 to December 2022, our study showed that the dynamic correlation between the stock markets of China and the ASEAN-6 was significantly enhanced during the sample period. The level of stock market integration between China and Singapore, Malaysia, and Vietnam has increased significantly, and the correlation has become more stable. In addition, the integration process shows significant time-varying characteristics; the effect of major economic events, the development of domestic financial markets, and the opening process of capital markets have a significant impact on the integration process of regional stock markets. The study made recommendations to promote China-ASEAN financial cooperation and offers a reliable theoretical basis for investment portfolio decisions. This will assist policymakers in keeping up with economic trends and taking necessary policy measures and interventions in a timely and effective manner to control stock market risks, ensuring stable and healthy economic development.
format Article
author Zhang Jinghua
Mori Kogid
author_facet Zhang Jinghua
Mori Kogid
author_sort Zhang Jinghua
title Stock market linkage between China and ASEAN-6 countries: Integration perspective
title_short Stock market linkage between China and ASEAN-6 countries: Integration perspective
title_full Stock market linkage between China and ASEAN-6 countries: Integration perspective
title_fullStr Stock market linkage between China and ASEAN-6 countries: Integration perspective
title_full_unstemmed Stock market linkage between China and ASEAN-6 countries: Integration perspective
title_sort stock market linkage between china and asean-6 countries: integration perspective
publisher Universiti Kebangsaan Malaysia
publishDate 2024
url https://eprints.ums.edu.my/id/eprint/42107/1/ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/42107/2/FULL%20TEXT.pdf
https://eprints.ums.edu.my/id/eprint/42107/
http://dx.doi.org/10.17576/JEM-2024-5801-10
_version_ 1817843857606311936
score 13.223943

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