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Financial Integration in ASEAN-5

Author

Listed:
  • Laura Grace Gabriella

    (Research Fellow, Department of Macroprudential Policy, Bank Indonesia)

  • Revathy Suryanarayana

    (Research Associate, Indian School of Business, Hyderabad)

  • Vania Esady

    (PhD student, Department of Economics, City, University of London)

Abstract

The financial integration in South East Asia has varied over time. This paper focuses on three periods: before, during, and after the global financial crisis in 2008. This paper finds that ASEAN-5 countries have indeed taken a step towards financial integration. While we do not observe any (cointegrating) long-run relationships between the ASEAN-5 countries, we find that there has been a significant increase in the volatility spillovers between them. This is particularly true in the recovery period following the global financial crisis.

Suggested Citation

  • Laura Grace Gabriella & Revathy Suryanarayana & Vania Esady, 2016. "Financial Integration in ASEAN-5," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 62, pages 44-58, April.
    • Handle: RePEc:lpe:efijnl:201604
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    References listed on IDEAS

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    2. Click, Reid W. & Plummer, Michael G., 2005. "Stock market integration in ASEAN after the Asian financial crisis," Journal of Asian Economics, Elsevier, vol. 16(1), pages 5-28, February.
    3. Huyghebaert, Nancy & Wang, Lihong, 2010. "The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?," China Economic Review, Elsevier, vol. 21(1), pages 98-112, March.
    4. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    5. Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 155-173, June.
    6. Guidi, Francesco & Gupta, Rakesh, 2012. "Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors," Greenwich Papers in Political Economy 8242, University of Greenwich, Greenwich Political Economy Research Centre.
    7. Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
    8. Gagari Chakrabarti, 2011. "Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 172-184, August.
    9. Francesco Guidi & Rakesh Gupta, "undated". "2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors," Discussion Papers in Finance finance:201214, Griffith University, Department of Accounting, Finance and Economics.
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    Cited by:

    1. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.

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    More about this item

    Keywords

    Financial Integration; Global Financial Crisis; ASEAN; GARCH;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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