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Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange

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  • Febrian, Erie
  • Herwany, Aldrin

Abstract

For both risk management and portfolio selection purposes, modeling the linkage across financial markets is crucial, especially among neighboring stock markets. In investigating the dependence or co-movement of three or more stock markets in different countries, researchers frequently use co-integration and causality analysis. Nevertheless, they conducted the causality in mean tests but not the causality in variance tests. This paper examines the co-integration and causal relations among three major stock exchanges in Southeast Asia, i.e Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange. It employs the recently developed techniques for investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating market risk of portfolio, this paper employs Value-at-Risk with delta-normal approach.

Suggested Citation

  • Febrian, Erie & Herwany, Aldrin, 2007. "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper 9632, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:9632
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    Cited by:

    1. Md. Abu HASAN, 2017. "Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis," Turkish Economic Review, KSP Journals, vol. 4(2), pages 239-249, June.
    2. Robin H. Luo & Thi Kim Anh Nguyen, 2012. "Dependence Structure of Equity and Foreign Exchange Markets: Evidence from Industrialized Asian Economies," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 2(1), pages 1-17.

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    More about this item

    Keywords

    Risk Management; Causality; Co-integration; Stock Markets;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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