December 2013
Intermediate to advanced
928 pages
28h 50m
English
book
Emerging Markets and the Global Economy
by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
Content preview from Emerging Markets and the Global Economy
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Chapter 25
Stock Market Co-movement in ASEAN and China
Hooi Hooi Leana and Russell Smythb, aEconomics Program, School of Social Sciences, Universiti Sains Malaysia, Malaysia, bDepartment of Economics, Monash University, Australia, E-mail: hooilean@usm.my, russell.smyth@monash.edu
Abstract
Using daily data from January 2001 to December 2012, we examine the extent to which the stock markets of the ASEAN-6 (Malaysia, Singapore, Indonesia, Thailand, the Philippines, and Vietnam) are integrated with each other and with the Shanghai stock exchange in the long run and short run. We find that the ASEAN-6 and Shanghai stock markets are cointegrated in the long run and that shocks to one market are quick to reverberate in other markets in the ...
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