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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