Stock Market Co-movement in ASEAN and China

Hooi Hooi Lean, Russell Smyth

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

7 Citations (Scopus)

Abstract

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.

Original languageEnglish
Title of host publicationEmerging Markets and the Global Economy
EditorsMohamed Arouri, Sabri Boubaker, Duc Khuong Nguyen
Place of PublicationOxford UK
PublisherElsevier
Pages603-622
Number of pages20
ISBN (Electronic)9780124115637
ISBN (Print)9780124115491
DOIs
Publication statusPublished - 2014

Keywords

  • ASEAN
  • China
  • G1
  • G15
  • Integration
  • Stock market co-movement

Cite this

Lean, H. H., & Smyth, R. (2014). Stock Market Co-movement in ASEAN and China. In M. Arouri, S. Boubaker, & D. K. Nguyen (Eds.), Emerging Markets and the Global Economy (pp. 603-622). Elsevier. https://doi.org/10.1016/B978-0-12-411549-1.00025-9