Dynamic linkages among ASEAN-5 emerging stock markets

Purpose – The purpose of this paper is to empirically explore market integration among five selected Association of Southeast Asian Nations (ASEAN) emerging markets (Malaysia, Thailand, Indonesia, the Philippines and Singapore) during the pre- and post-1997 financial crisis periods. Design/metho...

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Main Authors:	Abd. Majid, M. Shabri, Meera, Ahamed Kameel Mydin, Omar, MOhd. Azmi, Abdul Aziz, Hassanuddeen
Format:	Article
Language:	English
Published:	Emerald Group Publishing Limited 2009
Subjects:	HG Finance HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/553/ http://irep.iium.edu.my/553/ http://irep.iium.edu.my/553/ http://irep.iium.edu.my/553/1/Dynamic_linkages_among_ASEAN-5_emerging_stock_markets.pdf

id	iium-553
recordtype	eprints
spelling	iium-5532012-01-10T04:11:53Z http://irep.iium.edu.my/553/ Dynamic linkages among ASEAN-5 emerging stock markets Abd. Majid, M. Shabri Meera, Ahamed Kameel Mydin Omar, MOhd. Azmi Abdul Aziz, Hassanuddeen HG Finance HG4501 Stocks, investment, speculation Purpose – The purpose of this paper is to empirically explore market integration among five selected Association of Southeast Asian Nations (ASEAN) emerging markets (Malaysia, Thailand, Indonesia, the Philippines and Singapore) during the pre- and post-1997 financial crisis periods. Design/methodology/approach – Employs two-step estimation, cointegration and generalized method of moments (GMM). Findings – The study finds that the stock markets in the ASEAN region are cointegrated both during the pre- and post-1997 financial crisis. However, the markets are moving towards a greater integration, particularly during the post-1997 financial crisis. Finally, as measured by the error correction terms, except the emerging market of Indonesia, all other ASEAN markets appear to be the important bearers of short-run adjustment to a shock in the long-run equilibrium relationships in the region both during the pre- and post-crisis periods. Research limitations/implications – The study only focuses on stock markets of the five founding members of ASEAN, i.e. Malaysia, Indonesia, Thailand, Singapore and the Philippines. Practical implications – The paper reveals that unlike during the pre-crisis period, the long-run diversification benefits that can be earned by investors across the ASEAN markets in the post-crisis period tend to diminish. Originality/value – The study is among the first to use two-step estimation, cointegration and GMM to re-examine market integration either in the emerging or developed markets. Emerald Group Publishing Limited 2009 Article PeerReviewed application/pdf en http://irep.iium.edu.my/553/1/Dynamic_linkages_among_ASEAN-5_emerging_stock_markets.pdf Abd. Majid, M. Shabri and Meera, Ahamed Kameel Mydin and Omar, MOhd. Azmi and Abdul Aziz, Hassanuddeen (2009) Dynamic linkages among ASEAN-5 emerging stock markets. International Journal of Emerging Markets, 4 (2). pp. 160-184. ISSN 1746-8809 http://www.emeraldinsight.com/journals.htm?articleid=1782726 10.1108/17468800910945783
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG Finance HG4501 Stocks, investment, speculation
spellingShingle	HG Finance HG4501 Stocks, investment, speculation Abd. Majid, M. Shabri Meera, Ahamed Kameel Mydin Omar, MOhd. Azmi Abdul Aziz, Hassanuddeen Dynamic linkages among ASEAN-5 emerging stock markets
description	Purpose – The purpose of this paper is to empirically explore market integration among five selected Association of Southeast Asian Nations (ASEAN) emerging markets (Malaysia, Thailand, Indonesia, the Philippines and Singapore) during the pre- and post-1997 financial crisis periods. Design/methodology/approach – Employs two-step estimation, cointegration and generalized method of moments (GMM). Findings – The study finds that the stock markets in the ASEAN region are cointegrated both during the pre- and post-1997 financial crisis. However, the markets are moving towards a greater integration, particularly during the post-1997 financial crisis. Finally, as measured by the error correction terms, except the emerging market of Indonesia, all other ASEAN markets appear to be the important bearers of short-run adjustment to a shock in the long-run equilibrium relationships in the region both during the pre- and post-crisis periods. Research limitations/implications – The study only focuses on stock markets of the five founding members of ASEAN, i.e. Malaysia, Indonesia, Thailand, Singapore and the Philippines. Practical implications – The paper reveals that unlike during the pre-crisis period, the long-run diversification benefits that can be earned by investors across the ASEAN markets in the post-crisis period tend to diminish. Originality/value – The study is among the first to use two-step estimation, cointegration and GMM to re-examine market integration either in the emerging or developed markets.
format	Article
author	Abd. Majid, M. Shabri Meera, Ahamed Kameel Mydin Omar, MOhd. Azmi Abdul Aziz, Hassanuddeen
author_facet	Abd. Majid, M. Shabri Meera, Ahamed Kameel Mydin Omar, MOhd. Azmi Abdul Aziz, Hassanuddeen
author_sort	Abd. Majid, M. Shabri
title	Dynamic linkages among ASEAN-5 emerging stock markets
title_short	Dynamic linkages among ASEAN-5 emerging stock markets
title_full	Dynamic linkages among ASEAN-5 emerging stock markets
title_fullStr	Dynamic linkages among ASEAN-5 emerging stock markets
title_full_unstemmed	Dynamic linkages among ASEAN-5 emerging stock markets
title_sort	dynamic linkages among asean-5 emerging stock markets
publisher	Emerald Group Publishing Limited
publishDate	2009
url	http://irep.iium.edu.my/553/ http://irep.iium.edu.my/553/ http://irep.iium.edu.my/553/ http://irep.iium.edu.my/553/1/Dynamic_linkages_among_ASEAN-5_emerging_stock_markets.pdf
first_indexed	2023-09-18T20:07:41Z
last_indexed	2023-09-18T20:07:41Z
_version_	1777407267824467968

Dynamic linkages among ASEAN-5 emerging stock markets

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