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Stock market integration in ASEAN after the Asian financial crisis

Citations

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Cited by:

  1. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
  2. Sanjay Sehgal & Payal Jain, 2017. "Information linkages among emerging equity markets—an empirical study," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 44(1), pages 15-38, March.
  3. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Rehman, Mobeen ur & Ahmed, Tanveer & Khalid, Saniya, 2014. "Co-Movement of Pakistan Stock Exchange with India, S&P 500 and Nikkei 225: A Time-frequency (Wavelets) Analysis," MPRA Paper 60579, University Library of Munich, Germany.
  4. Yu, Ip-Wing & Fung, Kang-Por & Tam, Chi-Sang, 2010. "Assessing financial market integration in Asia - Equity markets," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2874-2885, December.
  5. Jonathan A. Batten & Peter G. Szilagyi & Wagner, 2015. "Should emerging market investors buy commodities?," Applied Economics, Taylor & Francis Journals, vol. 47(39), pages 4228-4246, August.
  6. Samia Nasreen & Sofia Anwar, 2020. "Financial Stability And The Role Of Economic And Financial Integration In South Asia: Evidence From Time-Series Data," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 303-333, March.
  7. Shailesh Rastogi, 2013. "Long-term Association of Stock Markets of Different Nations: An Empirical Study," Vision, , vol. 17(4), pages 303-313, December.
  8. Umairah, Fatin & Masih, Mansur, 2017. "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper 82117, University Library of Munich, Germany.
  9. Liow, Kim Hiang & Song, Jeongseop, 2020. "Dynamic interdependence of ASEAN5 with G5 stock markets," Emerging Markets Review, Elsevier, vol. 45(C).
  10. Yang, Chunxia & Chen, Yanhua & Niu, Lei & Li, Qian, 2014. "Cointegration analysis and influence rank—A network approach to global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 168-185.
  11. El-Shagi, Makram, 2017. "Dealing with small sample bias in post-crisis samples," Economic Modelling, Elsevier, vol. 65(C), pages 1-8.
  12. Doytch, Nadia, 2015. "Sectoral FDI cycles in South and East Asia," Journal of Asian Economics, Elsevier, vol. 36(C), pages 24-33.
  13. Roko Pedisic, 2022. "Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 59-78.
  14. Dewandaru, Ginanjar & Alaoui, AbdelKader & Bacha, Obiyathulla & Masih, Mansur, 2014. "Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices," MPRA Paper 56888, University Library of Munich, Germany.
  15. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2007. "Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach," Working Papers on Regional Economic Integration 8, Asian Development Bank.
  16. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
  17. Candelon, Bertrand & Piplack, Jan & Straetmans, Stefan, 2008. "On measuring synchronization of bulls and bears: The case of East Asia," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1022-1035, June.
  18. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2006. "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia," Working Papers 565, Queen Mary University of London, School of Economics and Finance.
  19. Mr. Martin Petri & Tahsin Saadi Sedik, 2006. "The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?," IMF Working Papers 2006/187, International Monetary Fund.
  20. Bakri Abdul Karim & M. Shabri Abd. Majid, 2010. "Does trade matter for stock market integration?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(1), pages 47-66, March.
  21. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  22. Kan, Denis & Andreosso-O'Callaghan, B., 2007. "Examination of the efficient market hypothesis--the case of post-crisis Asia Pacific countries," Journal of Asian Economics, Elsevier, vol. 18(2), pages 294-313, April.
  23. Michael G. Plummer & Reid W. Click, 2009. "The ASEAN Economic Community and the European Experience," Chapters, in: Koichi Hamada & Beate Reszat & Ulrich Volz (ed.), Towards Monetary and Financial Integration in East Asia, chapter 1, Edward Elgar Publishing.
  24. 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.
  25. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration," Data, MDPI, vol. 2(4), pages 1-28, December.
  26. Shahzad, Syed Jawad Hussain & Ahmed, Tanveer & Rehman, Mobeen Ur & Zakaria, Muhammad, 2014. "Relationship between Developed, Emerging and South Asian Equity Markets: Empirical Evidence with a Multivariate Framework Analysis," MPRA Paper 60398, University Library of Munich, Germany.
  27. Langhammer, Rolf J., 2007. "The Asian way of regional integration: Are there lessons from Europe?," Kiel Economic Policy Papers 7, Kiel Institute for the World Economy.
  28. Hui-Boon Tan & Eng-Tuck Cheah & Johnnie E. V. Johnson & Ming-Chien Sung & Chong-Hin Chuah, 2012. "Stock market capitalization and financial integration in the Asia Pacific region," Applied Economics, Taylor & Francis Journals, vol. 44(15), pages 1951-1961, May.
  29. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia," Risks, MDPI, vol. 6(4), pages 1-22, October.
  30. Kumar, Manmohan S. & Okimoto, Tatsuyoshi, 2011. "Dynamics of international integration of government securities' markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 142-154, January.
  31. Lee, Byung-Joo, 2019. "Asian financial market integration and the role of Chinese financial market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 490-499.
  32. Thampanya, Natthinee & Wu, Junjie & Nasir, Muhammad Ali & Liu, Jia, 2020. "Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  33. Anggraini Dewi & Phonwattana Somsathid & Sudawan Somjai & Erlane K. Ghani & Zulfikar Bagus Pambuko, 2019. "Stock Market Trends and Oil Prices: Evidence from a Developing Country," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 13(3), September.
  34. Urom, Christian & Guesmi, Khaled & Abid, Ilyes & Dagher, Leila, 2023. "Dynamic integration and transmission channels among interest rates and oil price shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 296-317.
  35. Dewandaru, Ginanjar & Rizvi, Syed Aun R. & Masih, Rumi & Masih, Mansur & Alhabshi, Syed Othman, 2014. "Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis," Economic Systems, Elsevier, vol. 38(4), pages 553-571.
  36. Jiang, Cuixia & Xiong, Wei & Xu, Qifa & Liu, Yezheng, 2021. "Predicting default of listed companies in mainland China via U-MIDAS Logit model with group lasso penalty," Finance Research Letters, Elsevier, vol. 38(C).
  37. Jiang, Yonghong & Nie, He & Monginsidi, Joe Yohanes, 2017. "Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests," Economic Modelling, Elsevier, vol. 64(C), pages 384-398.
  38. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37, Bank for International Settlements.
  39. Narendar Rao & K. Reddy, 2015. "The impact of the global financial crisis on cross-border mergers and acquisitions: a continental and industry analysis," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 309-341, December.
  40. Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021. "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, vol. 59(C).
  41. Balli, Faruk & Balli, Hatice Ozer & Luu, Mong Ngoc, 2014. "Diversification across ASEAN-wide sectoral and national equity returns," Economic Modelling, Elsevier, vol. 41(C), pages 398-407.
  42. Ignatius Roni Setyawan & Buddi Wibowo, 2021. "Does Entropy Index Explain the Determinant of Capital Market Integration in ASEAN?," Capital Markets Review, Malaysian Finance Association, vol. 29(1), pages 17-39.
  43. Suthawan Prukumpai & Yuthana Sethapramote, 2018. "Stock Market Integration in the ASEAN-5," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 25(1), pages 15-34.
  44. Ritesh Patel, 2021. "ASEAN-5 and Indian Financial Market Linkages: Evidence from Cointegration and Factor Analysis," Capital Markets Review, Malaysian Finance Association, vol. 29(1), pages 41-58.
  45. Robiyanto Robiyanto & Michael Alexander Santoso & Apriani Dorkas Rambu Atahau & Harijono Harijono, 2019. "The Indonesia Stock Exchange and Its Dynamics: An Analysis of the Effect of Macroeconomic Variables," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(4), pages 59-73.
  46. Amanjot SINGH & Parneet KAUR, 2015. "Stock Market Linkages: Evidence From the US, China and India During the Subprime Crisis," Timisoara Journal of Economics and Business, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 8(1), pages 137-162, June.
  47. Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
  48. Saif Siddiqui, 2009. "Stock Markets Integration: Examining Linkages between Selected World Markets," Vision, , vol. 13(1), pages 19-30, January.
  49. Qureshi, Fiza & Khan, Habib Hussain & Rehman, Ijaz Ur & Ghafoor, Abdul & Qureshi, Saba, 2019. "Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification," Economic Systems, Elsevier, vol. 43(1), pages 130-150.
  50. Ip-wing Yu & Laurence Fung & Chi-sang Tam, 2007. "Assessing Financial Market Integration In Asia - Equity Markets," Working Papers 0704, Hong Kong Monetary Authority.
  51. Ranjan Dasgupta, 2017. "Association of South-East Asian Nations-US Stock Market Associations in and Around US 2007-09 Financial Crisis: An Autoregressive Distributed Lag Application for Policy Implications," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 684-705.
  52. Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022. "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 87-117, March.
  53. Nicole Grunewald & Inmaculada Martínez-Zarzoso, 2014. "Green Growth in Mexico, Brazil and Chile: Policy strategies and future prospects," Ibero America Institute for Econ. Research (IAI) Discussion Papers 229, Ibero-America Institute for Economic Research.
  54. Sandrine Kablan & Khaled Guesmi, 2016. "Financial Integration and Japanese Stock market Performance," Economics Bulletin, AccessEcon, vol. 36(2), pages 1064-1070.
  55. Andy Wui-Wing Cheng & Nikolai Sheung-Chi Chow & David Kam-Hung Chui & Wing-Keung Wong, 2019. "The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
  56. Esta Lestari, 2012. "Is Indonesia More Financially Linked To The World Since The Asian Financial Crises?," RIEBS, Economic Research Center, Indonesian Institute of Sciences (P2E-LIPI), vol. 3(2), pages 1-14, November.
  57. Cristiana Tudor, 2011. "Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(4), pages 525-543, December.
  58. Majeed, Ayesha & Masih, Mansur, 2016. "A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan," MPRA Paper 79724, University Library of Munich, Germany.
  59. Herzer, Dierk & Nunnenkamp, Peter, 2015. "Income inequality and health: Evidence from developed and developing countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 9, pages 1-56.
  60. Kumamoto, Masao & 熊本, 方雄 & Zhuo, Juanjuan, 2019. "Integration and Market Discipline of ASEAN Government Bond Markets," Working Paper Series king Paper Series ; No.G-, Hitotsubashi University Center for Financial Research.
  61. Mensah, Jones Odei & Premaratne, Gamini, 2018. "Integration of ASEAN banking sector stocks," Journal of Asian Economics, Elsevier, vol. 59(C), pages 48-60.
  62. Trang Nha Le & Makoto Kakinaka, 2010. "International Transmission Of Stock Returns: Mean And Volatility Spillover Effects In Indonesia And Malaysia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 115-131.
  63. Claus, Edda & Lucey, Brian M., 2012. "Equity market integration in the Asia Pacific region: Evidence from discount factors," Research in International Business and Finance, Elsevier, vol. 26(2), pages 137-163.
  64. Wahyoe Soedarmono, 2018. "Stock market integration in the Asia-Pacific region: Evidence from cointegration of liquidity risk," Economics Bulletin, AccessEcon, vol. 38(1), pages 60-70.
  65. Ahmed M. Khalid & Gulasekaran Rajaguru, 2006. "Financial Market Integration in Pakistan: Evidence Using Post-1999 Data," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(4), pages 1041-1053.
  66. Mortaza OJAGHLOU, 2020. "Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 5(2), pages 17-36.
  67. Ranjan Dasgupta, 2016. "International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(6), pages 100-100, June.
  68. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
  69. Nattawoot Koowattanatianchai & Kulkunya Prayarach, 2016. "How the ASEAN Exchanges integration affects firms' position on the ASEAN Link and abnormal returns: evidence from Thailand," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 11(1), pages 58-82.
  70. Mukherjee, Kedar nath & Mishra, Ram Kumar, 2010. "Stock market integration and volatility spillover: India and its major Asian counterparts," Research in International Business and Finance, Elsevier, vol. 24(2), pages 235-251, June.
  71. J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.
  72. Kolluri, Bharat & Wahab, Susan & Wahab, Mahmoud, 2015. "An examination of co-movements of India's stock and government bond markets," Journal of Asian Economics, Elsevier, vol. 41(C), pages 39-56.
  73. Royfaizal, R. C & Lee, C & Mohamed, Azali, 2007. "Asean-5+3 And Us Stock Markets Interdependence Before, During And After Asian Financial Crisis," MPRA Paper 10263, University Library of Munich, Germany.
  74. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
  75. Jin Yong Yang & Sang-Heon Lee & In-Sung Yeo, 2017. "Long and Short-term Volatility Comovements in the East Asian Stock," Applied Economics and Finance, Redfame publishing, vol. 4(3), pages 14-29, May.
  76. Wang, Lihong, 2014. "Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 182-203.
  77. Zohreh Shirani Fakhr & Seyed Komail Tayebi, 2009. "Determinants of Financial Integration in the East Asia-Pacific Region," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 14(1), pages 155-173, spring.
  78. Chih-Chiang Wu & Wei-Peng Chen & Nattawadee Korsakul, 2025. "Extreme risk spillover in the equity markets: Evidence from the U.S.–China trade war," Review of Quantitative Finance and Accounting, Springer, vol. 65(3), pages 1203-1228, October.
  79. Ardliansyah, Rifqi, 2012. "Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets," MPRA Paper 41958, University Library of Munich, Germany.
  80. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
  81. Tam, Pui Sun & Tam, Pui I., 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers 2012-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  82. 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.
  83. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
  84. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
  85. Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
  86. Gilles de Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," AMSE Working Papers 1346, Aix-Marseille School of Economics, France, revised Sep 2013.
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  88. Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009. "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper 17277, University Library of Munich, Germany.
  89. Reddy, Kotapati Srinivasa, 2015. "The impact of the global financial crisis on border-crossing mergers and acquisitions: A continental/industry analysis," MPRA Paper 63563, University Library of Munich, Germany, revised 2015.
  90. Mr. Masafumi Yabara, 2012. "Capital Market Integration: Progress Ahead of the East African Community Monetary Union," IMF Working Papers 2012/018, International Monetary Fund.
  91. Boryana Bogdanova, 2014. "Measuring the degree of integration within a group of stock markets," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 26-46.
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  93. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
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  98. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
  99. Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015. "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-24.
  100. Alok Pandey & Surya Bhushan Kumar, 2011. "Volatility Transmission from Global Stock Exchanges to India," Vision, , vol. 15(4), pages 347-360, December.
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  111. Samia Nasreen & Sofia Anwar, 2017. "Financial Stability And The Role Of Economic And Financial Integration In South Asia: Evidence From Time-Series Data," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 303-333, March.
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  114. Solarin Sakiru Adebola & Jauhari Dahalan, 2012. "An Empirical Analysis of Stock Markets Integration in Selected African Countries," EuroEconomica, Danubius University of Galati, issue 2(31), pages 166-177, May.
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