Cross-Market Causal Linkages of ASEAN-5
This study seeks to understand the nature of international stock markets and the extent to which the ASEAN-5 markets causally relate with each other before and after the 1997-98 turmoil. The data series of the Composite Index (CI) in logarithm form and the volatility series of GARCH were adopted for...
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| Format: | Article |
| Language: | English |
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IUP Publications
2009
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| Online Access: | http://ir.unimas.my/id/eprint/7294/ http://ir.unimas.my/id/eprint/7294/1/Cross-Market%20Causal%20Linkages%20of%20ASEAN-5%20%2810%25%29.pdf |
| _version_ | 1848836098544893952 |
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| author | Evan, Lau Swee-Ling, Oh |
| author_facet | Evan, Lau Swee-Ling, Oh |
| author_sort | Evan, Lau |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study seeks to understand the nature of international stock markets and the extent to which the ASEAN-5 markets causally relate with each other before and after the 1997-98 turmoil. The data series of the Composite Index (CI) in logarithm form and the volatility series of GARCH were adopted for this study. The econometric approach of Toda and Yamamoto (1995) disclosed separate findings for both the series. Generally, markets deemed to be more causally related in the post-crisis period, than prior to it. Conclusively, lesser opportunities for international portfolio diversification were made available within the regional scope as markets possess long-run predictability measures. |
| first_indexed | 2025-11-15T06:18:22Z |
| format | Article |
| id | unimas-7294 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:18:22Z |
| publishDate | 2009 |
| publisher | IUP Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-72942015-04-28T01:09:47Z http://ir.unimas.my/id/eprint/7294/ Cross-Market Causal Linkages of ASEAN-5 Evan, Lau Swee-Ling, Oh HC Economic History and Conditions This study seeks to understand the nature of international stock markets and the extent to which the ASEAN-5 markets causally relate with each other before and after the 1997-98 turmoil. The data series of the Composite Index (CI) in logarithm form and the volatility series of GARCH were adopted for this study. The econometric approach of Toda and Yamamoto (1995) disclosed separate findings for both the series. Generally, markets deemed to be more causally related in the post-crisis period, than prior to it. Conclusively, lesser opportunities for international portfolio diversification were made available within the regional scope as markets possess long-run predictability measures. IUP Publications 2009 Article PeerReviewed text en http://ir.unimas.my/id/eprint/7294/1/Cross-Market%20Causal%20Linkages%20of%20ASEAN-5%20%2810%25%29.pdf Evan, Lau and Swee-Ling, Oh (2009) Cross-Market Causal Linkages of ASEAN-5. The IUP Journal of Financial Economics, 7 (3 & 4). pp. 37-47. ISSN 1308-7800 http://eds.b.ebscohost.com/ehost/results?sid=56845a78-df89-4e69-ba8f-c25809e7d3c8%40sessionmgr111&vid=0&hid=108&bquery=SO+(IUP+journal+of+financial+economics)+and+(%22Cross-Market+Causal+Linkages+of+ASEAN-5%22)+and+DT+%222009%22+and+AU+%22Oh%22&bdata=JmRi |
| spellingShingle | HC Economic History and Conditions Evan, Lau Swee-Ling, Oh Cross-Market Causal Linkages of ASEAN-5 |
| title | Cross-Market Causal Linkages of ASEAN-5 |
| title_full | Cross-Market Causal Linkages of ASEAN-5 |
| title_fullStr | Cross-Market Causal Linkages of ASEAN-5 |
| title_full_unstemmed | Cross-Market Causal Linkages of ASEAN-5 |
| title_short | Cross-Market Causal Linkages of ASEAN-5 |
| title_sort | cross-market causal linkages of asean-5 |
| topic | HC Economic History and Conditions |
| url | http://ir.unimas.my/id/eprint/7294/ http://ir.unimas.my/id/eprint/7294/ http://ir.unimas.my/id/eprint/7294/1/Cross-Market%20Causal%20Linkages%20of%20ASEAN-5%20%2810%25%29.pdf |