Contagion effect of seasonality in the ASEAN Plus 3 equity markets

This study investigates the presence of contagion effect of seasonality in the ASEAN plus 3 markets. The study employs the month-end closing prices of each market's broad based stock indexes over the period of 20 years from January 1987 to December2006, The analysis begins by establishing evid...

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Main Authors:	Ruzita Abd. Rahim, Abu Hassan Shaari Mohd Nor
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2007
Online Access:	http://journalarticle.ukm.my/7838/ http://journalarticle.ukm.my/7838/1/1586-2984-1-SM.pdf

id	ukm-7838
recordtype	eprints
spelling	ukm-78382016-12-14T06:45:23Z http://journalarticle.ukm.my/7838/ Contagion effect of seasonality in the ASEAN Plus 3 equity markets Ruzita Abd. Rahim, Abu Hassan Shaari Mohd Nor, This study investigates the presence of contagion effect of seasonality in the ASEAN plus 3 markets. The study employs the month-end closing prices of each market's broad based stock indexes over the period of 20 years from January 1987 to December2006, The analysis begins by establishing evidence of seasonality effect in sample markets. Using Granger causality approach, the study finds evidence of causal linkages with Hong Kong and Korea prevailing as leaders to the other ASEAN markets. The timeseries regression analysis confirms that these markets, particularly Korea, have contagion effect on stock returns in Singapore and Malaysia. The study further investigates for the causal linkages due specifically to seasonality effect. Consistent with the results in the general market conditions, Korea remains the leader market in the ASEAN region as well as Hong Kong. Overall, the results lend strong support to the view that seasonality effect in some stock markets is contagious. Specifically, seasonality in Malaysia, Indonesia as well as Hong Kong can be significantly predicted by similar trends in Korea. However, in predicting , seasonality in Singapore, the contagion efect from Malaysia and Indonesia are even more significant than that from Korea. From investment standpoint, the findings imply that investors in these affected (follower) markets should observe the trends in the leader markets in order to improve their chance to exploit the seasonality effect. Penerbit Universiti Kebangsaan Malaysia 2007 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7838/1/1586-2984-1-SM.pdf Ruzita Abd. Rahim, and Abu Hassan Shaari Mohd Nor, (2007) Contagion effect of seasonality in the ASEAN Plus 3 equity markets. Jurnal Ekonomi Malaysia, 41 . pp. 111-134. ISSN 0127-1962
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study investigates the presence of contagion effect of seasonality in the ASEAN plus 3 markets. The study employs the month-end closing prices of each market's broad based stock indexes over the period of 20 years from January 1987 to December2006, The analysis begins by establishing evidence of seasonality effect in sample markets. Using Granger causality approach, the study finds evidence of causal linkages with Hong Kong and Korea prevailing as leaders to the other ASEAN markets. The timeseries regression analysis confirms that these markets, particularly Korea, have contagion effect on stock returns in Singapore and Malaysia. The study further investigates for the causal linkages due specifically to seasonality effect. Consistent with the results in the general market conditions, Korea remains the leader market in the ASEAN region as well as Hong Kong. Overall, the results lend strong support to the view that seasonality effect in some stock markets is contagious. Specifically, seasonality in Malaysia, Indonesia as well as Hong Kong can be significantly predicted by similar trends in Korea. However, in predicting , seasonality in Singapore, the contagion efect from Malaysia and Indonesia are even more significant than that from Korea. From investment standpoint, the findings imply that investors in these affected (follower) markets should observe the trends in the leader markets in order to improve their chance to exploit the seasonality effect.
format	Article
author	Ruzita Abd. Rahim, Abu Hassan Shaari Mohd Nor,
spellingShingle	Ruzita Abd. Rahim, Abu Hassan Shaari Mohd Nor, Contagion effect of seasonality in the ASEAN Plus 3 equity markets
author_facet	Ruzita Abd. Rahim, Abu Hassan Shaari Mohd Nor,
author_sort	Ruzita Abd. Rahim,
title	Contagion effect of seasonality in the ASEAN Plus 3 equity markets
title_short	Contagion effect of seasonality in the ASEAN Plus 3 equity markets
title_full	Contagion effect of seasonality in the ASEAN Plus 3 equity markets
title_fullStr	Contagion effect of seasonality in the ASEAN Plus 3 equity markets
title_full_unstemmed	Contagion effect of seasonality in the ASEAN Plus 3 equity markets
title_sort	contagion effect of seasonality in the asean plus 3 equity markets
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2007
url	http://journalarticle.ukm.my/7838/ http://journalarticle.ukm.my/7838/1/1586-2984-1-SM.pdf
first_indexed	2023-09-18T19:50:44Z
last_indexed	2023-09-18T19:50:44Z
_version_	1777406201743540224

Contagion effect of seasonality in the ASEAN Plus 3 equity markets

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