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

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Author Info

  • 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.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Global Economic Review.

Volume (Year): 37 (2008)
Issue (Month): 2 ()
Pages: 201-225

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Handle: RePEc:taf:glecrv:v:37:y:2008:i:2:p:201-225

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Related research

Keywords: Stock market integration; cointegration; Generalized Method of Moments (GMM); diversification benefit; ASEAN-5;

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Cited by:
  1. Ardliansyah, Rifqi, 2012. "Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets," MPRA Paper 41958, University Library of Munich, Germany.
  2. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
  3. Bakri Abdul Karim & Nor Akila Mohd. Kassim & Mohammad Affendy Arip, 2010. "The subprime crisis and Islamic stock markets integration," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 3(4), pages 363-371, November.
  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.
  5. Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.

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