IDEAS home Printed from https://ideas.repec.org/a/taf/glecrv/v37y2008i2p201-225.html
   My bibliography  Save this article

Interdependence of ASEAN-5 Stock Markets from the US and Japan

Author

Listed:
  • M. Shabri Abd. Majid
  • Ahamed Kameel Mydin Meera
  • Mohd. Azmi Omar

Abstract

This study empirically examines market integration among five selected ASEAN (Association of South-east Asian Nations) emerging markets (i.e. Malaysia, Thailand, Indonesia, the Philippines, and Singapore) and their interdependencies from the US and Japan based on a two-step estimation, cointegration and Generalized Method of Moments (GMM). Closing daily stock indices starting from 1 January 1988 to 31 December 2006 are used. The study reveals that the ASEAN stock markets are going towards a greater integration either among themselves or with the US and Japan, particularly in the post-1997 financial turmoil. This implies that the long-run diversification benefits that can be gained by investors across the ASEAN markets tend to diminish. As for the long run causal relations between ASEAN stock markets with the US and Japan, the study discovers that Indonesia was relatively independent of both the US and Japan; Malaysia was more dependent on Japan rather than the US; Thailand was relatively independent of the US, but to some extent dependent on Japan; the Philippines is more affected by the US than Japan; and the US and Japan have bidirectional Granger causalities with Singapore.

Suggested Citation

  • M. Shabri Abd. Majid & Ahamed Kameel Mydin Meera & Mohd. Azmi Omar, 2008. "Interdependence of ASEAN-5 Stock Markets from the US and Japan," Global Economic Review, Taylor & Francis Journals, vol. 37(2), pages 201-225.
    • Handle: RePEc:taf:glecrv:v:37:y:2008:i:2:p:201-225
    DOI: 10.1080/12265080802021201
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/12265080802021201
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/12265080802021201?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:glecrv:v:37:y:2008:i:2:p:201-225. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RGER20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.