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Dynamic linkages among ASEAN-5 emerging stock markets

Abd. Majid, M. Shabri and Meera, Ahamed Kameel Mydin and Omar, MOhd. Azmi and Abdul Aziz, Hassanuddeen (2009) Dynamic linkages among ASEAN-5 emerging stock markets. International Journal of Emerging Markets, 4 (2). pp. 160-184. ISSN 1746-8809

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Abstract

Purpose – The purpose of this paper is to empirically explore market integration among five selected Association of Southeast Asian Nations (ASEAN) emerging markets (Malaysia, Thailand, Indonesia, the Philippines and Singapore) during the pre- and post-1997 financial crisis periods. Design/methodology/approach – Employs two-step estimation, cointegration and generalized method of moments (GMM). Findings – The study finds that the stock markets in the ASEAN region are cointegrated both during the pre- and post-1997 financial crisis. However, the markets are moving towards a greater integration, particularly during the post-1997 financial crisis. Finally, as measured by the error correction terms, except the emerging market of Indonesia, all other ASEAN markets appear to be the important bearers of short-run adjustment to a shock in the long-run equilibrium relationships in the region both during the pre- and post-crisis periods. Research limitations/implications – The study only focuses on stock markets of the five founding members of ASEAN, i.e. Malaysia, Indonesia, Thailand, Singapore and the Philippines. Practical implications – The paper reveals that unlike during the pre-crisis period, the long-run diversification benefits that can be earned by investors across the ASEAN markets in the post-crisis period tend to diminish. Originality/value – The study is among the first to use two-step estimation, cointegration and GMM to re-examine market integration either in the emerging or developed markets.

Item Type: Article (Journal)
Additional Information: 5058/553
Uncontrolled Keywords: Economic integration, South East Asia, Stock markets
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Economics and Management Sciences
Kulliyyah of Economics and Management Sciences > Department of Business Administration
Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Professor Hassanuddeen Abd Aziz
Date Deposited: 24 Jun 2011 15:47
Last Modified: 10 Jan 2012 12:11
URI: http://irep.iium.edu.my/id/eprint/553

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