IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

The Co-Movements of the Regional Stock Markets and Some Implications on Risk Diversification

Listed author(s):
  • Maran Marimuthu
Registered author(s):

    : As risk diversification is the main concern for most investors, they tend to look into the possibility of broadening their investment activities across the countries or creating a region-based investment policy. This requires the understanding of regional and global linkages of stock markets. Specifically, this study makes an attempt to re-examine the co-movements among the Malaysian, Indian and Chinese equity markets. This study also includes the stock market linkages between Malaysia and the developed markets (the US and the UK) for a more meaningful argument with regard to the importance of market linkages among Malaysia, India and China. Statistical testing includes Johansen multivariate cointegration, Vector Error Correction Model (VECM) to a five-variable model, followed by Granger causality test. The results indicate that there is a long-run relationship among the regional markets. Malaysia and India Granger cause each other, however, this study is unable to detect China s role in the regional market. In fact, in the Asian context, shocks in one country seem to have an effect in other countries for a very short period. Finally, the US market is still the main influential factor in the Asian markets.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Article provided by IUP Publications in its journal The IUP Journal of Applied Economics.

    Volume (Year): IX (2010)
    Issue (Month): 2 (April)
    Pages: 61-80

    in new window

    Handle: RePEc:icf:icfjae:v:09:y:2010:i:2:p:61-80
    Contact details of provider:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:icf:icfjae:v:09:y:2010:i:2:p:61-80. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.