Co-movement among sectoral stock market indices and cointegration among dually listed companies
This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks liste...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2004
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| Online Access: | http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf |
| _version_ | 1848811681601290240 |
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| author | Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon |
| author_facet | Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon |
| author_sort | Ramin Cooper Maysami, |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks listed dually in Singapore and the US. Using Johansen's (1988) Vector Error Correction Model (VECM), the paper concludes the existence of long-run cointegrating relationship both between the US and Singapore electronic sectors in general, and more specifically among the three dually listed stocks under consideration. However, the results point to a short-term disequilibria in the prices of dually listed stocks, leading to the conclusion that short-run arbitrage opportunities may exist. |
| first_indexed | 2025-11-14T23:50:16Z |
| format | Article |
| id | oai:generic.eprints.org:8063 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:50:16Z |
| publishDate | 2004 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:80632016-12-14T06:46:05Z http://journalarticle.ukm.my/8063/ Co-movement among sectoral stock market indices and cointegration among dually listed companies Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks listed dually in Singapore and the US. Using Johansen's (1988) Vector Error Correction Model (VECM), the paper concludes the existence of long-run cointegrating relationship both between the US and Singapore electronic sectors in general, and more specifically among the three dually listed stocks under consideration. However, the results point to a short-term disequilibria in the prices of dually listed stocks, leading to the conclusion that short-run arbitrage opportunities may exist. Penerbit Universiti Kebangsaan Malaysia 2004 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf Ramin Cooper Maysami, and Loo, Sze Wee and Koh, Tat Koon (2004) Co-movement among sectoral stock market indices and cointegration among dually listed companies. Jurnal Pengurusan, 23 . pp. 33-52. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/index |
| spellingShingle | Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon Co-movement among sectoral stock market indices and cointegration among dually listed companies |
| title | Co-movement among sectoral stock market indices and cointegration among dually listed companies |
| title_full | Co-movement among sectoral stock market indices and cointegration among dually listed companies |
| title_fullStr | Co-movement among sectoral stock market indices and cointegration among dually listed companies |
| title_full_unstemmed | Co-movement among sectoral stock market indices and cointegration among dually listed companies |
| title_short | Co-movement among sectoral stock market indices and cointegration among dually listed companies |
| title_sort | co-movement among sectoral stock market indices and cointegration among dually listed companies |
| url | http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf |