Volatility co-movement of Asean-5 equity markets
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...
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| Main Authors: | , , , |
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| Format: | E-Article |
| Published: |
EBSCO
2010
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/7219/ http://eds.b.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=73228f7b-0bb1-461c-8fe8-f82ab833b15b%40sessionmgr110&vid=0&hid=111 |
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| Summary: | 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. |
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