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The Synchronisation of ASEAN-5 Stock Markets with the Growth Rate Cycles of Selected Emerging and Developed Economies

Author

Listed:
  • Kee Tuan Teng

    (Kee Tuan Teng, Economics & Corporate Administration Division, School of Business Studies, Tunku Abdul Rahman College, Penang, Malaysia, email: tengkt@mail.tarc.edu.my)

  • Siew Hwa Yen

    (Siew Hwa Yen, Economic Section, School of Distance Education, Universiti Sains Malaysia, Penang, Malaysia, email: shyen@usm.my)

  • Soo Y. Chua

    (Soo Y. Chua, Economics Programme, School of Social Sciences, Universiti Sains Malaysia, Penang, Malaysia, email: sychua@usm.my)

Abstract

This study explores the changing direction and degree of financial integration of the emerging economies, People’s Republic of China (PRC) and India, with ASEAN-5 and compares it to the developed economies, the US and Japan, in a time-varying framework. The concordance and rolling concordance indices are used to study the cyclical behaviour in the ASEAN-5 stock markets with the economic activity of the emerging and developed economies. This study covers the period between January 1991 and June 2010. One of the more significant findings from this study is that ASEAN-5 stock markets do not react as a whole to external shock from these four trading partners. Each stock market in ASEAN-5 responded differently in terms of direction and degree towards the influences of the economic condition in these emerging and developed economies. The ASEAN-5 stock markets were less correlated with economic activities in emerging economies but were more aligned with economic activities in developed economies. In summary, ASEAN-5 stock market cycles were still more dependent on the developed economies’ growth rate cycles.

Suggested Citation

  • Kee Tuan Teng & Siew Hwa Yen & Soo Y. Chua, 2013. "The Synchronisation of ASEAN-5 Stock Markets with the Growth Rate Cycles of Selected Emerging and Developed Economies," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(1), pages 1-28, February.
    • Handle: RePEc:sae:mareco:v:7:y:2013:i:1:p:1-28
    DOI: 10.1177/0973801012466100
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    More about this item

    Keywords

    ASEAN-5; Financial Integration; Growth Rate Cycle; Concordance Index; Rolling Concordance Index; F15; F36;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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