Co-movement among sectoral stock market indices and cointegration among dually listed companies
This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks liste...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2004
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| Online Access: | http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf |
| Summary: | This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks listed dually in Singapore and the US. Using Johansen's (1988) Vector Error Correction Model (VECM), the paper concludes the existence of long-run cointegrating relationship both between the US and Singapore electronic sectors in general, and more specifically among the three dually listed stocks under consideration. However, the results point to a short-term disequilibria in the prices of dually listed stocks, leading to the conclusion that short-run arbitrage opportunities may exist. |
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