VOLATILITY CO-MOVEMENT OF ASEAN-5 EQUITY MARKETS

  • Swee-Ling OH
  • Evan LAU
  • Chin-Hong PUAH
  • Shazali ABU MANSOR

Abstract

Economic cross-linkages and the increased co-movement of asset prices across international markets are important
outcomes as the result of globalization. Hereby, the nature of international stock markets and the extent to which the 1997-
1998 East Asian turmoil had affected the market relationship of five countries of Association of Southeast Asian Nations
(ASEAN-5) remain as probing questions. Using an array of econometrics analysis upon the stock price volatility series, we
found partial market integration for the pre-crisis; whereas in the post-crisis, complete integration prevails. Hence, the
financial meltdown in 1997 is said to be a contagion led crisis as markets integrate well off after the crisis than prior to it.
Nonetheless, long run portfolio asset diversification benefits across the ASEAN-5 basin are reduced as markets are
integrated in both the pre- and post-crisis. As such, the formation of the ASEAN Investment Area (AIA- 1998) parallel with
the establishment of a developed ASEAN Index-Financial Times Stock Exchange (FTSE) regional index is viable to foster
deeper regional market convergence.
Published
2010-08-15
How to Cite
OH, Swee-Ling et al. VOLATILITY CO-MOVEMENT OF ASEAN-5 EQUITY MARKETS. Journal of Advanced Studies in Finance, [S.l.], v. 1, n. 1, p. 23-30, aug. 2010. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/24>. Date accessed: 25 jan. 2022.
Section
Journal of Advanced Studies in Finance