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Financial Crisis and Intertemporal Linkages Across the ASEAN-5 Stock Markets

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  • Kim-Leng Goh

    ()

  • Yoke-Chen Wong

    ()

  • Kim-Lian Kok

    ()

Abstract

The stock indices of five ASEAN countries, namely, Singapore, Malaysia, Indonesia, Thailand and the Philippines have experienced a structural change after mid-1997 due to the Asian financial crisis, and another shift slightly more than a year later when the markets rebounded. Contemporaneous correlation in stock returns is the strongest and Indonesia leads the movements of the other indices during the crisis. The relative influence of foreign shocks is much more felt during the crisis, as seen in the stronger and longer horizon of responses of all the markets. The stock indices are cointegrated before, but not during the crisis. Price feedbacks between the larger markets of Singapore, Malaysia and Indonesia that existed before the crisis disappear once the crisis is over. Short-run linkages of Malaysia with the other markets have weakened after the crisis. With an increase in the degree of exogeneity of its stock market, contemporaneous co-movements with the other markets have reduced and the causal relationships no longer exist. Copyright Springer Science + Business Media, Inc. 2005

Suggested Citation

  • Kim-Leng Goh & Yoke-Chen Wong & Kim-Lian Kok, 2005. "Financial Crisis and Intertemporal Linkages Across the ASEAN-5 Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 359-377, June.
  • Handle: RePEc:kap:rqfnac:v:24:y:2005:i:4:p:359-377 DOI: 10.1007/s11156-005-7018-6
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    References listed on IDEAS

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    Cited by:

    1. repec:wsi:rpbfmp:v:20:y:2017:i:02:n:s0219091517500102 is not listed on IDEAS
    2. Apostolakis, George, 2016. "Spreading crisis: Evidence of financial stress spillovers in the Asian financial markets," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 542-551.
    3. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 4(1), pages 84-122, April.
    4. Stan Shun-Pinn Lee & Kim-Leng Goh, 2016. "Regional and International Linkages of the ASEAN-5 Stock Markets: A Multivariate Garch Approach," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 49-71.
    5. Chien, Mei-Se & Lee, Chien-Chiang & Hu, Te-Chung & Hu, Hui-Ting, 2015. "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5," Economic Modelling, Elsevier, vol. 51(C), pages 84-98.
    6. Cheong, Chin Wen, 2008. "Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 889-898.

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