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Financial Integration and the ASEAN-5 Equity Markets

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Azman-Saini, W N W, et al

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Abstract

The existence of long-run relationships among the ASEAN-5 equity markets is empirically investigated. This study utilized weekly data spanning January 1988 to August 1999. The results of Granger noncausality test due to Toda and Yamamoto (1995) reveal that the Singapore equity market was not affected by other markets except by the Philippines in the long run. This result shows that there exist opportunities for beneficial international portfolio diversification within the context of the Asean-5 equity markets. Copyright 2002 by Taylor and Francis Group

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Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 34 (2002)
Issue (Month): 18 (December)
Pages: 2283-88
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Handle: RePEc:taf:applec:v:34:y:2002:i:18:p:2283-88

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  1. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June. [Downloadable!] (restricted)
  2. Ian Babetskii & Lubos Komarek & Zlatuse Komarkova, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Working Papers 2007/7, Czech National Bank, Research Department. [Downloadable!]
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  3. Royfaizal, R. C & Lee, C & Mohamed , Azali, 2007. "Asean-5+3 And Us Stock Markets Interdependence Before, During And After Asian Financial Crisis," MPRA Paper 10263, University Library of Munich, Germany. [Downloadable!]
  4. Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009. "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper 17277, University Library of Munich, Germany. [Downloadable!]
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