Do Indian economic activities impact ASEAN-5 stock markets?
This study examines the dynamic linkages of ASEAN-5 with India based on a multivariate framework. DCC-MGARCH model was used to assess the presence of contagion effects and herding behaviour, indicated by the dynamic conditional correlations. The var -Granger causality test was employed to capture...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2015
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| Online Access: | http://journalarticle.ukm.my/9592/ http://journalarticle.ukm.my/9592/1/jeko_49%282%29-6.pdf |
| _version_ | 1848812139771330560 |
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| author | Teng, Kee Tuan Yean, Siew Hwa Soo, Y. Chua Hooi, Hooi Lean |
| author_facet | Teng, Kee Tuan Yean, Siew Hwa Soo, Y. Chua Hooi, Hooi Lean |
| author_sort | Teng, Kee Tuan |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | This study examines the dynamic linkages of ASEAN-5 with India based on a multivariate framework. DCC-MGARCH
model was used to assess the presence of contagion effects and herding behaviour, indicated by the dynamic conditional
correlations. The var -Granger causality test was employed to capture the direction of dynamic volatility transmission
at the short run. Findings showed that the dynamic correlation of ASEAN-5 stock markets with Indian economy is in
par with the U.S. and Japan. The simultaneous sudden spike in Dynamic Conditional Correlation between India and
ASEAN-5 and followed by immediate reversal to decreasing Dynamic Conditional Correlation in 2009 indicate a contagion
effect and herding behaviour which coincided with European sovereign debt crisis. The immediate reversal back to
decreasing Dynamic Conditional Correlation suggests that both countries are hardly contagious by external crisis.
In the short run, there is no volatility spillover from Indian economic activities to ASEAN-5 stock markets but there is
volatility spillover from stock markets of Indonesia and Singapore to Indian economic activities. Trade policies, economic
crises and economic liberalisation play significant roles in shaping the structure of the dynamic volatility correlations
between the studied markets. This study reveals that ASEAN-5 has become preferred markets for the diversification of
stock portfolio for India in the short run. |
| first_indexed | 2025-11-14T23:57:33Z |
| format | Article |
| id | oai:generic.eprints.org:9592 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:57:33Z |
| publishDate | 2015 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:95922016-12-14T06:50:23Z http://journalarticle.ukm.my/9592/ Do Indian economic activities impact ASEAN-5 stock markets? Teng, Kee Tuan Yean, Siew Hwa Soo, Y. Chua Hooi, Hooi Lean This study examines the dynamic linkages of ASEAN-5 with India based on a multivariate framework. DCC-MGARCH model was used to assess the presence of contagion effects and herding behaviour, indicated by the dynamic conditional correlations. The var -Granger causality test was employed to capture the direction of dynamic volatility transmission at the short run. Findings showed that the dynamic correlation of ASEAN-5 stock markets with Indian economy is in par with the U.S. and Japan. The simultaneous sudden spike in Dynamic Conditional Correlation between India and ASEAN-5 and followed by immediate reversal to decreasing Dynamic Conditional Correlation in 2009 indicate a contagion effect and herding behaviour which coincided with European sovereign debt crisis. The immediate reversal back to decreasing Dynamic Conditional Correlation suggests that both countries are hardly contagious by external crisis. In the short run, there is no volatility spillover from Indian economic activities to ASEAN-5 stock markets but there is volatility spillover from stock markets of Indonesia and Singapore to Indian economic activities. Trade policies, economic crises and economic liberalisation play significant roles in shaping the structure of the dynamic volatility correlations between the studied markets. This study reveals that ASEAN-5 has become preferred markets for the diversification of stock portfolio for India in the short run. Penerbit Universiti Kebangsaan Malaysia 2015 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/9592/1/jeko_49%282%29-6.pdf Teng, Kee Tuan and Yean, Siew Hwa and Soo, Y. Chua and Hooi, Hooi Lean (2015) Do Indian economic activities impact ASEAN-5 stock markets? Jurnal Ekonomi Malaysia, 49 (2). pp. 61-76. ISSN 0127-1962 http://www.ukm.my/fep/jem/current.html |
| spellingShingle | Teng, Kee Tuan Yean, Siew Hwa Soo, Y. Chua Hooi, Hooi Lean Do Indian economic activities impact ASEAN-5 stock markets? |
| title | Do Indian economic activities impact ASEAN-5 stock markets? |
| title_full | Do Indian economic activities impact ASEAN-5 stock markets? |
| title_fullStr | Do Indian economic activities impact ASEAN-5 stock markets? |
| title_full_unstemmed | Do Indian economic activities impact ASEAN-5 stock markets? |
| title_short | Do Indian economic activities impact ASEAN-5 stock markets? |
| title_sort | do indian economic activities impact asean-5 stock markets? |
| url | http://journalarticle.ukm.my/9592/ http://journalarticle.ukm.my/9592/ http://journalarticle.ukm.my/9592/1/jeko_49%282%29-6.pdf |