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Which market is the driver of the Asian stock markets ?

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  • Taher, Sumaiyah
  • Masih, Mansur

Abstract

The study aims to investigate whether the Asian stock markets are integrated or not and if they are integrated which market is the driver of the Asian stock markets. The findings of this paper are valuable for investors, traders and policy makers as this will enable them to make decisions related to their portfolio diversification, risk management and asset allocation . The paper applies a range of standard multivariate time series techniques and finds a strong financial integration between the indices under study. The interesting finding is that Thailand is the most leading country in Southeast Asia followed by Japan, China, Singapore, United States and finally Malaysia. Hence investors could gain potential long-run benefits from diversifying their investment portfolios internationally to reduce the associated systematic risks across countries. In addition, it enables policy makers attain a more stable financial system.

Suggested Citation

  • Taher, Sumaiyah & Masih, Mansur, 2018. "Which market is the driver of the Asian stock markets ?," MPRA Paper 107975, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:107975
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    More about this item

    Keywords

    Leading Asian stock market; VECM; VDC; Malaysia;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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