Using daily data from January 2001 to December 2012, we examine the extent to which the stock markets of the ASEAN-6 (Malaysia, Singapore, Indonesia, Thailand, the Philippines, and Vietnam) are integrated with each other and with the Shanghai stock exchange in the long run and short run. We find that the ASEAN-6 and Shanghai stock markets are cointegrated in the long run and that shocks to one market are quick to reverberate in other markets in the short run. The main implications of our results are that opportunities for international portfolio diversification in the long run and short run in the Shanghai and ASEAN-6 markets are limited.
|Title of host publication||Emerging Markets and the Global Economy|
|Editors||Mohamed Arouri, Sabri Boubaker, Duc Khuong Nguyen|
|Place of Publication||Oxford UK|
|Number of pages||20|
|Publication status||Published - 2014|
- Stock market co-movement