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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| Format: | Article |
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EBSCO
2010
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| Online Access: | http://ir.unimas.my/id/eprint/7219/ |
| _version_ | 1848836081573691392 |
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| author | Lau, Evan Oh, Swee-Ling Puah, Chin-Hong Shazali Abu, Mansor |
| author_facet | Lau, Evan Oh, Swee-Ling Puah, Chin-Hong Shazali Abu, Mansor |
| author_sort | Lau, Evan |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T06:18:06Z |
| format | Article |
| id | unimas-7219 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| last_indexed | 2025-11-15T06:18:06Z |
| publishDate | 2010 |
| publisher | EBSCO |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-72192016-04-14T07:03:04Z http://ir.unimas.my/id/eprint/7219/ Volatility co-movement of Asean-5 equity markets Lau, Evan Oh, Swee-Ling Puah, Chin-Hong Shazali Abu, Mansor HC Economic History and Conditions JZ International relations 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. EBSCO 2010 Article PeerReviewed 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 http://eds.b.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=73228f7b-0bb1-461c-8fe8-f82ab833b15b%40sessionmgr110&vid=0&hid=111 |
| spellingShingle | HC Economic History and Conditions JZ International relations Lau, Evan Oh, Swee-Ling Puah, Chin-Hong Shazali Abu, Mansor Volatility co-movement of Asean-5 equity markets |
| title | Volatility co-movement of Asean-5 equity markets |
| title_full | Volatility co-movement of Asean-5 equity markets |
| title_fullStr | Volatility co-movement of Asean-5 equity markets |
| title_full_unstemmed | Volatility co-movement of Asean-5 equity markets |
| title_short | Volatility co-movement of Asean-5 equity markets |
| title_sort | volatility co-movement of asean-5 equity markets |
| topic | HC Economic History and Conditions JZ International relations |
| url | http://ir.unimas.my/id/eprint/7219/ http://ir.unimas.my/id/eprint/7219/ |